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Comput. Appl. Math.</a> <a href="/?q=in%3A91197" title="Articles in this Issue">151, No. 1, 215-227 (2003)</a>. </div> <div class="abstract">Under certain hypotheses, which include the less restrictive assumption that \(f,g\) satisfy a local (rather than global) Lipschitz condition, a theorem is proved establishing convergence of Euler-Maruyama approximate solutions to the solution of the stochastic differential delay equation with variable delay \[ dx(t)= f\biggl(x,\bigl( \delta(t)\bigr)\biggr) dt+g\biggl(x(t), x \bigl(\delta(t) \bigr)\biggr) dB(t) \] where \(B\) is an \(m\)-dimensional Brownian motion.<div class="reviewer"> Reviewer: <a href="/authors/?q=rv%3A2104">Melvin D.Lax (Long Beach)</a></div> <div class="clearfix"></div></div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=ci%3A1882249">Cited in <strong>2</strong> Reviews</a></div><div class="clear"><a href="/?q=rf%3A1882249">Cited in <strong>104</strong> Documents</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A65C30" title="MSC2020">65C30</a> </td> <td class="space"> Numerical solutions to stochastic differential and integral equations </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A65L20" title="MSC2020">65L20</a> </td> <td class="space"> Stability and convergence of numerical methods for ordinary differential equations </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A65L06" title="MSC2020">65L06</a> </td> <td class="space"> Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A34F05" title="MSC2020">34F05</a> </td> <td class="space"> Ordinary differential equations and systems with randomness </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A60H10" title="MSC2020">60H10</a> </td> <td class="space"> Stochastic ordinary differential equations (aspects of stochastic analysis) </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A60H35" title="MSC2020">60H35</a> </td> <td class="space"> Computational methods for stochastic equations (aspects of stochastic analysis) </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Astochastic+differential+delay+equations">stochastic differential delay equations</a>; <a href="/?q=ut%3Alocal+Lipschitz+condition">local Lipschitz condition</a>; <a href="/?q=ut%3AEuler-Maruyama+method">Euler-Maruyama method</a>; <a href="/?q=ut%3Aconvergence">convergence</a>; <a href="/?q=ut%3ABrownian+motion">Brownian motion</a></div> <!-- Modal used to show zbmath metadata in different output formats--> <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;"> <!-- alert for connection errors etc --> </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function"> <!-- Button trigger metadata modal --> <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1015.65002" data-ciurl="/ci/01882249" data-biburl="/bibtex/01882249.bib" data-amsurl="/amsrefs/01882249.bib" data-xmlurl="/xml/01882249.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/01882249.pdf" title="Zbl 1015.65002 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1016/S0377-0427(02)00750-1" aria-label="DOI for “Numerical solutions of stochastic differential delay equations under local Lipschitz condition”" title="10.1016/S0377-0427(02)00750-1">DOI</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Baker, C. T.H.; Buckwar, E., Numerical analysis of explicit one-step methods for stochastic delay differential equations, LMS J. Comput. Math., 3, 315-335 (2000) · <a href="/0974.65008" class="nowrap">Zbl 0974.65008</a></td> </tr><tr> <td>[2]</td> <td class="space">Buckwar, E., Introduction to the numerical analysis of stochastic delay differential equations, J. Comput. Appl. Math., 125, 297-307 (2000) · <a href="/0971.65004" class="nowrap">Zbl 0971.65004</a></td> </tr><tr> <td>[3]</td> <td class="space">Hale, J. K.; Lunel, V. S.M., Introduction to Functional Differential Equations (1993), Springer: Springer Berlin · <a href="/0787.34002" class="nowrap">Zbl 0787.34002</a></td> </tr><tr> <td>[4]</td> <td class="space">D.J. Higham, X. Mao, A.M. Stuart, Strong convergence of numerical methods for nonlinear stochastic differential equations, SIAM J. Num. Anal., 2002, to appear.; D.J. Higham, X. Mao, A.M. Stuart, Strong convergence of numerical methods for nonlinear stochastic differential equations, SIAM J. Num. Anal., 2002, to appear. · <a href="/1026.65003" class="nowrap">Zbl 1026.65003</a></td> </tr><tr> <td>[5]</td> <td class="space">Y. Hu, S.E.A. Mohammed, F. Yan, Numerical solution of stochastic differential systems with memory, Preprint, Southern Illinois University, 2001.; Y. Hu, S.E.A. Mohammed, F. Yan, Numerical solution of stochastic differential systems with memory, Preprint, Southern Illinois University, 2001.</td> </tr><tr> <td>[6]</td> <td class="space">Kloeden, P. E.; Platen, E., Numerical Solution of Stochastic Differential Equations (1992), Springer: Springer Berlin · <a href="/0925.65261" class="nowrap">Zbl 0925.65261</a></td> </tr><tr> <td>[7]</td> <td class="space">Kolmanovskii, V.; Myshkis, A., Applied Theory of Functional Differential Equations (1992), Kluwer Academic Publishers: Kluwer Academic Publishers Dordrecht · <a href="/0917.34001" class="nowrap">Zbl 0917.34001</a></td> </tr><tr> <td>[8]</td> <td class="space">Komori, Y.; Saito, Y.; Mitsui, T., Some issues in discrete approximate solution for stochastic differential equations, Comput. Math. Appl., 28, 269-278 (1994) · <a href="/0810.65145" class="nowrap">Zbl 0810.65145</a></td> </tr><tr> <td>[9]</td> <td class="space">Küchler, U.; Platen, E., Strong discrete time approximation of stochastic differential equations with time delay, Math. Comput. Simulation, 54, 189-205 (2000)</td> </tr><tr> <td>[10]</td> <td class="space">Mao, X., Approximate solutions for a class of stochastic evolution equations with variable delays—Part II, Numer. Funct. Anal. Optim., 15, 1 &2, 65-76 (1994) · <a href="/0796.60068" class="nowrap">Zbl 0796.60068</a></td> </tr><tr> <td>[11]</td> <td class="space">Mao, X., Exponential Stability of Stochastic Differential Equations (1994), Marcel Dekker: Marcel Dekker New York · <a href="/0851.93074" class="nowrap">Zbl 0851.93074</a></td> </tr><tr> <td>[12]</td> <td class="space">Mao, X., Stochastic Differential Equations and Applications (1997), Horwood: Horwood England · <a href="/0874.60050" class="nowrap">Zbl 0874.60050</a></td> </tr><tr> <td>[13]</td> <td class="space">Milstein, G. N., Numerical Integration of Stochastic Differential Equations (1995), Kluwer Academic Publishers Group: Kluwer Academic Publishers Group Dordrecht · <a href="/0810.65144" class="nowrap">Zbl 0810.65144</a></td> </tr><tr> <td>[14]</td> <td class="space">Platen, E., An introduction to numerical methods for stochastic differential equations, Acta Numer., 8, 195-244 (1999)</td> </tr><tr> <td>[15]</td> <td class="space">Saito, Y.; Mitsui, T., T-stability of numerical schemes for stochastic differential equations, World Sci. Ser. Appl. Anal., 2, 333-344 (1993) · <a href="/0834.65146" class="nowrap">Zbl 0834.65146</a></td> </tr><tr> <td>[16]</td> <td class="space">Saito, Y.; Mitsui, T., Stability analysis of numerical schemes for stochastic differential equations, SIAM J. Numer. Anal., 33, 2254-2267 (1996) · <a href="/0869.60052" class="nowrap">Zbl 0869.60052</a></td> </tr></table> <div class="reference_disclaimer"> This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. 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