Tamed EM scheme of Neutral Stochastic Differential Delay Equations

Yanting Ji; Chenggui Yuan

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arXiv · 1603.06747

Tamed EM scheme of Neutral Stochastic Differential Delay Equations

Yanting Ji·Chenggui Yuan

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Abstract

In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local non-Lipschitz conditions, respectively. Moreover, under a global Lipschitz condition, we provide the rate of the convergence of tamed EM, which is smaller than the rate convergence of classical EM scheme one half.

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Yanting Ji, Chenggui Yuan. 2016-03-22. Tamed EM scheme of Neutral Stochastic Differential Delay Equations. https://arxiv.org/abs/1603.06747

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