Almost Sure and L-p Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation

作者：Guo, Qian^*; Tao, Xueyin

来源：Abstract and Applied Analysis, 2014, 2014: 390418.

DOI：10.1155/2014/390418

• APPROXIMATIONS

The convergence of the split-step backward Euler (SSBE) method applied to stochastic differential equation with variable delay is proven in L-p-sense. Almost sure convergence is derived from the L-p convergence by Chebyshev's inequality and the Borel-Cantelli lemma; meanwhile, the convergence rate is obtained.

• 出版日期2014
• 单位上海师范大学