On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
Author:
Funder
NSF of China
Fundamental Research Funds for the Central Universities
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference43 articles.
1. Introduction to the numerical analysis of stochastic delay differential equations;Buckwar;J. Comput. Appl. Math.,2000
2. On exponential mean-square stability of two-step Maruyama methods for stochastic delay differential equations;Cao;J. Comput. Appl. Math.,2013
3. Split-step θ-method for stochastic delay differential equations;Cao;Appl. Numer. Math.,2014
4. Numerical methods for stochastic delay differential equations via the Wong–Zakai approximation;Cao;SIAM J. Sci. Comput.,2015
5. Discrete-time approximations of stochastic delay equations: the Milstein scheme;Hu;Ann. Probab.,2004
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