Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

Published 7 Sep 2020 in math.NA, cs.NA, and math.PR | (2009.03049v1)

Abstract: In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition.

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