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

作者：Tan, Li^*

来源：Journal of Computational and Applied Mathematics, 2018, 342: 25-36.

DOI：10.1016/j.cam.2018.04.007

• Neutral stochastic differential delay equations
• theta-EM scheme
• Local Lipschitz
• Almost sure convergence
• Strong convergence

This paper is concerned with almost sure convergence of theta-EM scheme for neutral stochastic differential delay equations under local Lipschitz conditions with theta is an element of[1/2, 1]. It is revealed that the strong convergence rate under local Lipschitz condition is 1/2, while almost sure convergence rate is less than 1/2, provided the local Lipschitz constant, valid on balls of radius R, grows not faster than root log R.

• 出版日期2018-11
• 单位江西财经大学