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

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arXiv · 2009.03049

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

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Abstract

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.

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Shuaibin Gao, Junhao Hu, Li Tan, Chenggui Yuan. 2020-09-07. Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps. https://arxiv.org/abs/2009.03049

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