Convergence of Numerical Solution of The Tamed Milstein Method for NSDDEs

2022/03/13 by Fan, Qiquan, Min, Yingxiao, Wang, Yingying +1
#FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)

paper · doi:10.48550/arxiv.2203.06627

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.

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