New Order 2.0 Simplified Weak Itô–Taylor Symmetrical Scheme for Stochastic Delay Differential Equations

Abstract

In this article, we construct a new order 2.0 simplified weak Itô–Taylor symmetrical scheme for stochastic delay differential equations. By the new local weak convergence lemma and the connection inequality, we theoretically prove the global weak convergence theorem in two parts on the basis of Malliavin stochastic analysis. Meanwhile, numerical examples are presented to illustrate the error and convergence results. Furthermore, the obtained results display the influence of the delay coefficient on global errors.

Keywords

• global weak convergence
• SDDEs
• weak order 2.0 numerical scheme
• connection inequality