The improved split-step backward Euler method for stochastic differential delay equations

Author： Wang Xiaojie   Gan Siqing  

Publisher： Taylor & Francis Ltd

ISSN： 0020-7160

Source： International Journal of Computer Mathematics, Vol.88, Iss.11, 2011-07, pp. : 2359-2378

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Abstract

A new, improved split-step backward Euler method is introduced and analysed for stochastic differential delay equations (SDDEs) with generic variable delay. The method is proved to be convergent in the mean-square sense under conditions (Assumption 3.1) that the diffusion coefficient g(x, y) is globally Lipschitz in both x and y, but the drift coefficient f(x, y) satisfies the one-sided Lipschitz condition in x and globally Lipschitz in y. Further, the exponential mean-square stability of the proposed method is investigated for SDDEs that have a negative one-sided Lipschitz constant. Our results show that the method has the unconditional stability property, in the sense, that it can well reproduce stability of the underlying system, without any restrictions on stepsize h. Numerical experiments and comparisons with existing methods for SDDEs illustrate the computational efficiency of our method.

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