On splitting strategies for the numerical solution of stochastic delay differential equations with correlated noises

Abstract: In this article we investigate the numerical solution of a scalar semilinear stochastic delay differential equation (SDDE) where the linear instantaneous feedback and nonlinear delayed feedback terms are perturbed by a pair of standard Brownian motions with correlation $ρ$. Such SDDEs may be naturally decomposed into two subsystems: a linear stochastic differential equation (SDE) without delay, and a nonlinear SDDE. Splitting methods work by solving each subsystem separately and composing the results over a single step. Our main theoretical result provides a bound on the mean-square error of a particular strategy for doing this, known as Lie-Trotter splitting. This bound implies that the method is mean-square strongly convergent with order $1/2$ when $ρ=0$, so that the noises are uncorrelated, but assurances of convergence are lost when $ρ\neq 0$. Indeed we develop an upper bound on the global mean-square error with a term depends linearly on the magnitude of the correlation, and is independent of the stepsize. While our theoretical error bound is an estimate from above, we conduct numerical experiments that confirm the order of mean-square strong convergence of Lie-Trotter splitting in the $ρ=0$ case, and demonstrate a rapid fall-off to effectively zero as $|ρ|$ increases. Similar numerical results are observed for an alternative commonly used strategy known as Strang splitting.