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Numerical Solutions of Stochastic Differential Equations with Piecewise Continuous Arguments under Khasminskii-Type Conditions

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  • Minghui Song
  • Ling Zhang

Abstract

The main purpose of this paper is to investigate the convergence of the Euler method to stochastic differential equations with piecewise continuous arguments (SEPCAs). The classical Khasminskii-type theorem gives a powerful tool to examine the global existence of solutions for stochastic differential equations (SDEs) without the linear growth condition by the use of the Lyapunov functions. However, there is no such result for SEPCAs. Firstly, this paper shows SEPCAs which have nonexplosion global solutions under local Lipschitz condition without the linear growth condition. Then the convergence in probability of numerical solutions to SEPCAs under the same conditions is established. Finally, an example is provided to illustrate our theory.

Suggested Citation

  • Minghui Song & Ling Zhang, 2012. "Numerical Solutions of Stochastic Differential Equations with Piecewise Continuous Arguments under Khasminskii-Type Conditions," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-21, July.
    • Handle: RePEc:hin:jnljam:696849
    DOI: 10.1155/2012/696849
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