Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by G-Brownian motion

Abstract

There are few numerical analysis results for nonlinear neutral stochastic delay differential equations driven by G-Brownian motion (G-NSDDEs). This paper is concerned with the numerical solutions of the G-NSDDEs to fill this gap. In this paper, we first devote to show that the stochastic theta numerical solution converges to the exact solution for the G-NSDDE. We then prove that the backward Euler–Maruyama numerical solution for the G-NSDDE is asymptotically mean-square stable under suitable conditions. Moreover, a numerical example is demonstrated to illustrate the effectiveness of our obtained results.