Convergence of numerical solutions to stochastic delay differential equations with jumps (Q2369121): Difference between revisions

Stochastic delay differential equations with jumps represent an extension of stochastic differential equations with time delay. The authors consider discrete time strong numerical approximations to a broad class of stochastic delay differential equations with jumps which avoid linear growth conditions and Lipschitz conditions. In particular, the strong convergence of the Euler scheme is established under rather weak assumptions. A bound for the strong order of convergence is given.