Convergence order of one point large deviations rate functions for backward Euler method of stochastic delay differential equations with small noise

Abstract

The present work focuses on the convergence order of one point large deviations rate functions for the backward Euler method of stochastic delay differential equations (SDDEs) with small noise. The drift and diffusion coefficients of SDDEs are allowed to grow super-linearly with respect to both the state variables and the delay variables. It is shown that the backward Euler method satisfies the one point large deviations principle (LDP) with good rate function. Further, the local uniform convergence orders of the one point large deviations rate function are derived by means of the equivalent characterizations for the original and numerical rate functions. These theoretical results are finally supported by a series of numerical experiments.