Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

2020/09/07 by Gao, Shuaibin, Hu, Junhao, Tan, Li +1
#FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)

paper · doi:10.48550/arxiv.2009.03049

Abstract

In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition.

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