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

Li Tan and Chenggui Yuan

Applied Mathematics and Computation, 2018, vol. 338, issue C, 607-623

Abstract: This paper is concerned with strong convergence of a tamed theta scheme for neutral stochastic differential delay equations with one-sided Lipschitz drift. Strong convergence rate is revealed under a global one-sided Lipschitz condition, while for a local one-sided Lipschitz condition, the tamed theta scheme is modified to ensure the well-posedness of implicit numerical schemes, then we show the convergence of the numerical solutions.

Keywords: Tamed theta scheme; Neutral stochastic differential delay equations; One-sided Lipschitz; Strong convergence (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:338:y:2018:i:c:p:607-623

DOI: 10.1016/j.amc.2018.06.051

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