Tamed EM scheme of neutral stochastic differential delay equations

被引：8

作者：

Ji, Yanting ^{[1
]}

Yuan, Chenggui ^{[2
]}

机构：

[1] Beijing Inst Technol, Bryant Zhuhai, Zhuhai, Peoples R China

[2] Swansea Univ, Dept Math, Swansea SA2 8PP, W Glam, Wales

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2017年 / 326卷

关键词：

Neutral stochastic differential delay equations; Non-Lipschitz; Monotonicity; Tamed EM scheme; Rate of convergence; Pure jumps; NUMERICAL-SOLUTIONS; STRONG-CONVERGENCE; SDES; APPROXIMATION; STABILITY;

D O I：

10.1016/j.cam.2017.06.002

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local non-Lipschitz conditions, respectively. Moreover, under the global Lipschitz condition, we provide the convergence rate of tamed EM scheme, which could be the same as the convergence rate of classical EM scheme one half. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：337 / 357

页数：21

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