Convergence rates of truncated EM scheme for NSDDEs

Published 18 Jan 2018 in math.NA | (1801.05952v1)

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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