4 citations · 8 across the 7 of their papers we have counts for
7 papers
Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
Shuaibin Gao, Junhao Hu, Li Tan +1
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…
Multilevel Monte Carlo theta EM scheme for SDDEs with small noise
Li Tan, Chenggui Yuan
In this paper, a multilevel Monte Carlo theta EM scheme is provided for stochastic differential delay equations with small noise. Under a global Lipschitz condition, the variance o…
Convergence rates of truncated EM scheme for NSDDEs
Li Tan, Chenggui Yuan
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…
A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions
Li Tan, Chenggui Yuan
Under a local one-sided Lipschitz condition, Krylov [KR] proved the existence and uniqueness of the strong solutions for stochastic differential equations by using the Euler-Maruya…
Convergence rates of theta-method for neutral SDDEs under non-globally Lipschitz continuous coefficients
Li Tan, Chenggui Yuan
This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients…
Strong convergence of tamed -EM scheme for neutral SDDEs with one-sided Lipschitz drift
Li Tan, Chenggui Yuan
This paper is concerned with strong convergence of a tamed -Euler-Maruyama scheme for neutral stochastic differential delay equations with superlinearly growing coefficients. We…