Proves that the true solution of a highly nonlinear delayed stochastic interest rate model converges in probability to its truncated Euler-Maruyama approximation as the step size tends to zero.
and Mao, X.: The Euler–Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
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Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
Proves that the true solution of a highly nonlinear delayed stochastic interest rate model converges in probability to its truncated Euler-Maruyama approximation as the step size tends to zero.