In this paper a variant of the Euler-Maruyama method is used to define the numerical solutions for stochastic differential delay equations (SDDEs) with variable delay. The key aim is to show that the numerical solutions will converge to the true solutions of the SDDEs under the local Lipschitz condition. (C) 2002 Elsevier Science B.V. All rights reserved.
|Number of pages||13|
|Journal||Journal of computational and applied mathematics|
|Publication status||Published - 1 Feb 2003|