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math.PR2015★ 1 cited
Convergence of EM Scheme for Neutral Stochastic Differential Delay Equations
Yanting Ji, Jianhai Bao, Chenggui Yuan
In this paper, we are concerned with convergence rate of Euler-Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral term, the…
math.PR2015★ 8 cited
Neutral Stochastic Differential Delay Equations with Locally Monotone Coefficients
Yanting Ji, Qingshuo Song, Chenggui Yuan
In this paper, we prove the existence and uniqueness of the solution for neutral stochastic differential delay equations with locally monotone coefficients by using numerical appro…