Mean square convergence of one-step methods for neutral stochastic differential delay equations (Q2518671): Difference between revisions

The authors prove a version of Milstein's general mean square convergence theorem [\textit{G. N. Milstein}, Numerical integration of stochastic differential equations (1994; Zbl 0810.65144)] for the numerical approximation of neutral stochastic differential delay equations (NSDDEs) with Lipschitz-continuous linear-growth bounded coefficients (integrated in Itô sense). This theorem with global rate formula \(p_2-1/2\) for local consistency rates \(p_1 \geq p_2 + 1/2\) can be applied to drift-implicit one-step numerical schemes for NSDDEs with constant step sizes \(h = \tau/N\) and constant delay term \(\tau>0\).