Almost sure convergence rate of θ-EM scheme for neutral SDDEs

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:342

Article

Tan, Li^1,2 

[1] Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China

[2] Jiangxi Univ Finance & Econ, Res Ctr Appl Stat, Nanchang 330013, Jiangxi, Peoples R China

关键词: Neutral stochastic differential delay equations;    theta-EM scheme;    Local Lipschitz;    Almost sure convergence;    Strong convergence;   

DOI  :  10.1016/j.cam.2018.04.007

来源: Elsevier

【 摘 要 】

This paper is concerned with almost sure convergence of theta-EM scheme for neutral stochastic differential delay equations under local Lipschitz conditions with theta is an element of[1/2, 1]. It is revealed that the strong convergence rate under local Lipschitz condition is 1/2, while almost sure convergence rate is less than 1/2, provided the local Lipschitz constant, valid on balls of radius R, grows not faster than root log R. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

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