Convergence of the Euler Method of Stochastic Differential Equations with Piecewise Continuous Arguments

Abstract

The main purpose of this paper is to investigate the strong convergence of the Euler method to stochastic differential equations with piecewise continuous arguments (SEPCAs). Firstly, it is proved that the Euler approximation solution converges to the analytic solution under local Lipschitz condition and the bounded $p$th moment condition. Secondly, the Euler approximation solution converge to the analytic solution is given under local Lipschitz condition and the linear growth condition. Then an example is provided to show which is satisfied with the monotone condition without the linear growth condition. Finally, the convergence of numerical solutions to SEPCAs under local Lipschitz condition and the monotone condition is established.