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arXiv:2009.03049 [math.NA]AbstractReferencesReviewsResources

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

Shuaibin Gao, Junhao Hu, Li Tan, Chenggui Yuan

Published 2020-09-07Version 1

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.

Categories: math.NA, cs.NA, math.PR
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