Convergence rates of truncated EM scheme for NSDDEs

2018/01/18 by Tan, Li, Yuan, Chenggui
#FOS: Mathematics #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.1801.05952

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.

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