Strong convergence of tamed θ-EM scheme for neutral SDDEs with one-sided Lipschitz drift

2016/12/08 by Tan, Li, Yuan, Chenggui
#65C30 #65L20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1612.02800

Abstract

This paper is concerned with strong convergence of a tamed θ-Euler-Maruyama scheme for neutral stochastic differential delay equations with superlinearly growing coefficients. We not only prove the strong convergence of implicit schemes, but also reveal the convergence rate for these equations driven by Brownian motion and pure jumps, respectively.

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• Tamed EM scheme of Neutral Stochastic Differential Delay Equations
• Convergence of EM Scheme for Neutral Stochastic Differential Delay Equations
• Convergence rates of theta-method for neutral SDDEs under non-globally Lipschitz continuous coefficients
• Convergence rates of truncated EM scheme for NSDDEs
• Strong convergence of tamed theta scheme for superlinearly growing McKean-Vlasov NSDDEs driven by fractional Brownian motions