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arXiv · 1810.09647

Projected Euler method for stochastic delay differential equation under a global monotonicity condition

Min Li·Chengming Huang
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Abstract

This paper investigates projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition. This condition admits some equations with highly nonlinear drift and diffusion coefficients. We appropriately generalized the idea of C-stability and B-consistency given by Beyn et al. [J. Sci. Comput. 67 (2016), no. 3, 955-987] to the case with delay. Moreover, the method is proved to be convergent with order $\frac{1}{2}$ in a succinct way. Finally, some numerical examples are included to illustrate the obtained theoretical results.

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Min Li, Chengming Huang. 2018-10-23. Projected Euler method for stochastic delay differential equation under a global monotonicity condition. https://arxiv.org/abs/1810.09647

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