Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients

DOI10.1142/S1664360719500061WikidataQ128087812 ScholiaQ128087812MaRDI QIDQ4997856

Chenggui Yuan, Li Tan

Publication date: 30 June 2021

Published in: Bulletin of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.00223

zbMATH Keywords

strong convergencealmost sure convergencehighly nonlinearneutral stochastic differential delay equations\(\theta\)-EM scheme

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions ⋮ Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching ⋮ 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

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• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

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