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Abstract Neutral stochastic delay differential equations often appear in various fields of science and engineering. The aim of this article is to investigate the strong convergence of the split-step theta… Click to show full abstract
Abstract Neutral stochastic delay differential equations often appear in various fields of science and engineering. The aim of this article is to investigate the strong convergence of the split-step theta (SST) method for the neutral stochastic delay differential equations, where the corresponding coefficients may be highly nonlinear with respect to the delay variables. In particular, we reveal that the SST method with θ ∈ [ 0 , 1 ] strongly converges to the exact solution with the order 1 2 . Some numerical results are presented to confirm the obtained results.
Journal Title: Applied Numerical Mathematics
Year Published: 2017
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