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Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions. (English) Zbl 1251.65004

Summary: We 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.

MSC:

65C30 Numerical solutions to stochastic differential and integral equations
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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