Convergence of Numerical Solution of The Tamed Milstein Method for NSDDEs
Numerical Analysis
2022-03-15 v1 Numerical Analysis
Probability
Abstract
In this paper, we apply the tamed technique to the Milstein numerical scheme to investigate Neutral Stochastic Delay Differential Equations(NSDDEs) with highly nonlinear coefficients. Under the local Lipschitz condition and Khasminskii condition, the tamed Milstein numerical solution converges strongly to the exact solution.
Keywords
Cite
@article{arxiv.2203.06627,
title = {Convergence of Numerical Solution of The Tamed Milstein Method for NSDDEs},
author = {Qiquan Fan and Yingxiao Min and Yingying Wang and Yanting Ji},
journal= {arXiv preprint arXiv:2203.06627},
year = {2022}
}