The paper focuses on a numerical scheme for multiple-delay stochastic differential equations with irregular coefficients. The truncated Euler-Maruyama scheme is employed to handle superlinear terms in coefficients, ensuring convergence rates at time T in both L1 and L2 senses. The convergence rates over a finite time interval are also discussed, showing that the number of delay variables does not affect the convergence rates. The study includes numerical experiments on a stochastic volatility model to validate theoretical results.
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소스 콘텐츠 기반
arxiv.org
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