Convergence Rate of the Truncated Euler-Maruyama Method for Neutral Stochastic Differential Delay Equations with Markovian Switching
Year: 2020
Author: Wei Zhang
Journal of Computational Mathematics, Vol. 38 (2020), Iss. 6 : pp. 903–932
Abstract
The key aim of this paper is to show the strong convergence of the truncated Euler-Maruyama method for neutral stochastic differential delay equations (NSDDEs) with Markovian switching (MS) without the linear growth condition. We present the truncated Euler-Maruyama method of NSDDEs-MS and consider its moment boundedness under the local Lipschitz condition plus Khasminskii-type condition. We also study its strong convergence rates at time $T$ and over a finite interval $[0, T]$. Some numerical examples are given to illustrate the theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1906-m2018-0237
Journal of Computational Mathematics, Vol. 38 (2020), Iss. 6 : pp. 903–932
Published online: 2020-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 30
Keywords: Neutral stochastic differential delay equations Truncated Euler-Maruyama method Local Lipschitz condition Khasminskii-type condition Markovian switching.
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