Applied Mathematics and Optimization, Vol.68, No.3, 391-412, 2013
A Note on Euler Approximations for Stochastic Differential Equations with Delay
An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure convergence is obtained under local Lipschitz and also under monotonicity conditions.
Keywords:Stochastic delay differential equations;Euler approximations;Rate of convergence;Local Lipschitz condition;Monotonicity condition