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On approximation of solutions of stochastic delay differential equations via randomized Euler scheme.
- Source :
-
Applied Numerical Mathematics . Mar2024, Vol. 197, p143-163. 21p. - Publication Year :
- 2024
-
Abstract
- We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carathéodory-type drift coefficients. Moreover, we also assume that both drift f = f (t , x , z) and diffusion g = g (t , x , z) coefficient are Lipschitz continuous with respect to the space variable x , but only Hölder continuous with respect to the delay variable z. We provide a construction of randomized Euler scheme for approximation of solutions of Carathéodory SDDEs, and investigate its upper error bound. Finally, we report results of numerical experiments that confirm our theoretical findings. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01689274
- Volume :
- 197
- Database :
- Academic Search Index
- Journal :
- Applied Numerical Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 174323181
- Full Text :
- https://doi.org/10.1016/j.apnum.2023.11.008