{
  "id": "1111.4130",
  "version": "v1",
  "published": "2011-11-17T15:44:39.000Z",
  "updated": "2011-11-17T15:44:39.000Z",
  "title": "Convergence Rate of EM Scheme for SDDEs",
  "authors": [
    "Jianhai Bao",
    "Chenggui Yuan"
  ],
  "comment": "Page 13",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper we investigate the convergence rate of Euler-Maruyama scheme for a class of stochastic differential delay equations, where the corresponding coefficients may be highly nonlinear with respect to the delay variables. In particular, we reveal that the convergence rate of Euler-Maruyama scheme is 1/2$ for the Brownian motion case, while show that it is best to use the mean-square convergence for the pure jump case, and that the order of mean-square convergence is close to 1/2.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-11-17T15:44:39.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "convergence rate",
      "em scheme",
      "euler-maruyama scheme",
      "mean-square convergence",
      "stochastic differential delay equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1111.4130B"
    }
  }
}