Logarithmic Euler Maruyama Scheme for Multi Dimensional Stochastic Delay Differential Equation

08/25/2021

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by   Nishant Agrawal, et al.

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In this paper, we extend the logarithmic Euler-Maruyama scheme for stochastic delay differential equation in one dimension to the part where we propose a scheme for a system of stochastic delay differential equations. We then show that the scheme always maintains positivity subject to initial conditions. We then show the convergence of the proposed Euler-Maruyama scheme. With this scheme, all the approximate solutions are positive and the rate of convergence of this scheme is 0.5.