Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs

DOI10.1016/j.cam.2018.04.007zbMath1391.65024OpenAlexW2800691470MaRDI QIDQ1639522

Li Tan

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.04.007

zbMATH Keywords

strong convergencealmost sure convergenceneutral stochastic differential delay equations\(\theta\)-EM schemelocal Lipschitz

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Convergence rate in \(\mathcal{L}^p\) sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients

Cites Work

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• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations

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