Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift

DOI10.1016/j.amc.2018.06.051zbMath1427.65010OpenAlexW2883868582MaRDI QIDQ2335787

Li Tan, Chenggui Yuan

Publication date: 15 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa41153

zbMATH Keywords

strong convergenceneutral stochastic differential delay equationsone-sided Lipschitztamed theta scheme

Mathematics Subject Classification ID

Neutral functional-differential equations (34K40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations ⋮ Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation ⋮ Convergence rate in \(\mathcal{L}^p\) sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ Robust control for incremental quadratic constrained nonlinear time-delay systems subject to actuator saturation ⋮ Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition ⋮ Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients

Cites Work

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• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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