Convergence rates of truncated EM scheme for NSDDEs

Abstract

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.

Cited by in corpus (1)

• Strong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing nonlinearities