Almost Sure and Lp Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation
The convergence of the split-step backward Euler (SSBE) method applied to stochastic differential equation with variable delay is proven in Lp-sense. Almost sure convergence is derived from the Lp convergence by Chebyshev’s inequality and the Borel-Cantelli lemma; meanwhile, the convergence rate is...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/390418 |
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