2000 character limit reached
Tamed EM scheme of Neutral Stochastic Differential Delay Equations (1603.06747v1)
Published 22 Mar 2016 in math.PR
Abstract: In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local non-Lipschitz conditions, respectively. Moreover, under a global Lipschitz condition, we provide the rate of the convergence of tamed EM, which is smaller than the rate convergence of classical EM scheme one half.