Convergence Rate of EM Scheme for SDDEs
Probability
2011-11-18 v1
Abstract
In this paper we investigate the convergence rate of Euler-Maruyama scheme for a class of stochastic differential delay equations, where the corresponding coefficients may be highly nonlinear with respect to the delay variables. In particular, we reveal that the convergence rate of Euler-Maruyama scheme is 1/2$ for the Brownian motion case, while show that it is best to use the mean-square convergence for the pure jump case, and that the order of mean-square convergence is close to 1/2.
Keywords
Cite
@article{arxiv.1111.4130,
title = {Convergence Rate of EM Scheme for SDDEs},
author = {Jianhai Bao and Chenggui Yuan},
journal= {arXiv preprint arXiv:1111.4130},
year = {2011}
}
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