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.
@article{ E1MCA9_2016_v34n5_6_421}
,title={A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION}
,volume={5_6}
, url={http://dx.doi.org/10.14317/jami}, DOI={10.14317/jami}
, number= {5_6}
, journal={Journal of applied mathematics & informatics}
, publisher={Korean Society of Computational and Applied Mathematics}
, author={YOUNG-HO, KIM
and
CHAN-HO, PARK
and
MUN-JIN, BAE}
, year={2016}
, month={Sep}
TY - JOUR
T2 - Journal of applied mathematics & informatics
AU - YOUNG-HO, KIM
AU - CHAN-HO, PARK
AU - MUN-JIN, BAE
SN - 1598-5857
TI - A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION
VL - 34
PB - Korean Society of Computational and Applied Mathematics
DO - 10.14317/jami
PY - 2016
UR - http://dx.doi.org/10.14317/jami
ER -
YOUNG-HO, K.
,
CHAN-HO, P.
,
&
MUN-JIN, B.
( 2016).
A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION.
Journal of applied mathematics & informatics,
34
(5_6)
Korean Society of Computational and Applied Mathematics.
doi:10.14317/jami
YOUNG-HO, K
,
CHAN-HO, P
,
&
MUN-JIN, B
2016,
A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION,
Journal of applied mathematics & informatics,
vol. 5_6,
no. 5_6,
Retrieved from http://dx.doi.org/10.14317/jami
[1]
K YOUNG-HO
,
P CHAN-HO
,
and
B MUN-JIN
,
“A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION”,
Journal of applied mathematics & informatics,
vol. 5_6,
no. 5_6,
Sep
2016.
YOUNG-HO, KIM
and
,
CHAN-HO, PARK
and
,
MUN-JIN, BAE
and
,
“A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION”
Journal of applied mathematics & informatics,
5_6.
5_6
2016:
YOUNG-HO, K
,
CHAN-HO, P
,
MUN-JIN, B
A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION.
Journal of applied mathematics & informatics
[Internet].
2016.
Sep ;
5_6
(5_6)
Available from http://dx.doi.org/10.14317/jami
YOUNG-HO, KIM
,
CHAN-HO, PARK
,
and
MUN-JIN, BAE
,
“A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION.”
Journal of applied mathematics & informatics
5_6
no.5_6
()
Sep,
2016):
http://dx.doi.org/10.14317/jami