• Title/Summary/Keyword: Stochastic differential delay equation

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A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION

  • KIM, YOUNG-HO;PARK, CHAN-HO;BAE, MUN-JIN
    • Journal of applied mathematics & informatics
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    • v.34 no.5_6
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    • pp.421-434
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    • 2016
  • The main aim of this paper is to discuss the difference between the Euler-Maruyama's approximate solutions and the accurate solution to stochastic differential delay equation. To make the theory more understandable, we impose the non-uniform Lipschitz condition and weakened linear growth condition. Furthermore, we give the pth moment continuous of the approximate solution for the delay equation.