Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion (Q764568)

Summary: A class of drift-implicit one-step schemes for neutral stochastic delay differential equations (NSDDEs) driven by Poisson processes are proposed. A general framework for the mean-square convergence of the methods is provided. It is shown that, under certain conditions, global error estimates for a method can be inferred from estimates on its local error. The applicability of mean-square convergence theory is illustrated using stochastic \(\theta\)-methods and balanced implicit methods. It is derived that the order of the mean-square convergence of both of them for NSDDEs with jumps is 1/2. Numerical experiments illustrate the theoretical results. It is worth noting that the results regarding the mean-square convergence of the stochastic \(\theta\)-methods and the balanced implicit methods are also new.