Li Tan, Chenggui Yuan
Published 2017-01-01Version 1
This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients. Convergence rates of $\theta$-EM schemes are given for these equations driven by Brownian motion and pure jumps respectively, where the drift terms satisfy locally one-sided Lipschitz conditions, and diffusion coefficients obey locally Lipschitz conditions, and the corresponding coefficients are highly nonlinear with respect to the delay terms.
Convergence Rates for Approximations of Functionals of SDEs
Strong convergence of tamed $θ$-EM scheme for neutral SDDEs
Stability equivalence for stochastic differential equations, stochastic differential delay equations and their corresponding Euler-Maruyama methods in $G$-framework
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