Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5776275 | Journal of Computational and Applied Mathematics | 2017 | 32 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Yanting Ji, Chenggui Yuan,