@Article{JCM-38-6, author = {Zhang, Wei}, title = {Convergence Rate of the Truncated Euler-Maruyama Method for Neutral Stochastic Differential Delay Equations with Markovian Switching}, journal = {Journal of Computational Mathematics}, year = {2020}, volume = {38}, number = {6}, pages = {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.
}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.1906-m2018-0237}, url = {https://global-sci.com/article/84371/convergence-rate-of-the-truncated-euler-maruyama-method-for-neutral-stochastic-differential-delay-equations-with-markovian-switching} }