Tamed EM scheme of neutral stochastic differential delay equations

[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.

[发布日期] 2017-12-15

[关键词] Neutral stochastic differential delay equations;Non-Lipschitz;Monotonicity;Tamed EM scheme;Rate of convergence;Pure jumps