Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

DOI10.1090/S0002-9939-2013-11886-1zbMath1277.65006arXiv1111.4130OpenAlexW2050667572MaRDI QIDQ2845471

Chenggui Yuan, Jianhai Bao

Publication date: 30 August 2013

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.4130

zbMATH Keywords

jumpsBrownian motionconvergence rateEuler-Maruyama schemestochastic differential delay equationhighly nonlinear

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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