Convergence rates of truncated EM scheme for NSDDEs

Li Tan; Chenggui Yuan

Convergence rates of truncated EM scheme for NSDDEs

Numerical Analysis 2018-01-19 v1

Authors: Li Tan , Chenggui Yuan

Abstract

This paper is concerned with strong convergence of the truncated Euler-Maruyama scheme for neutral stochastic differential delay equations driven by Brownian motion and pure jumps respectively. Under local Lipschitz condition, convergence rates of the truncated EM scheme are given.

Keywords

neutral stochastic differential delay equations truncated euler-maruyama scheme strong convergence convergence rates local lipschitz condition

Cite

@article{arxiv.1801.05952,
  title  = {Convergence rates of truncated EM scheme for NSDDEs},
  author = {Li Tan and Chenggui Yuan},
  journal= {arXiv preprint arXiv:1801.05952},
  year   = {2018}
}