Convergence rates of truncated EM scheme for NSDDEs
arXiv:1801.059523 citationsh-index: 35
AI Analysis
Provides theoretical convergence guarantees for numerical methods in a specific class of stochastic delay equations, which is an incremental contribution to the field of stochastic numerics.
This paper establishes strong convergence rates for the truncated Euler-Maruyama scheme applied to neutral stochastic differential delay equations under local Lipschitz conditions, considering both Brownian motion and pure jump noise.
This paper is concerned with strong convergence of the truncated Euler-Maruyama scheme for neutral stochastic differential delay equations driven by Brownian motion and pure jumps respectively. Under local Lipschitz condition, convergence rates of the truncated EM scheme are given.