Abstract
Recently, numerical solutions of stochastic differential equations have received a great deal of attention. It is surprising that there are not any numerical methods established for neutral stochastic delay differential equations yet. In the paper, the Euler-Maruyama method for neutral stochastic delay differential equations is developed. The key aim is to show that the numerical solutions will converge to the true solutions under the local Lipschitz condition.
Original language | English |
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Pages (from-to) | 85 - 96 |
Number of pages | 12 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 229 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2009 |
Externally published | Yes |