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Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift.
- Source :
-
Applied Mathematics & Computation . Dec2018, Vol. 338, p607-623. 17p. - Publication Year :
- 2018
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00963003
- Volume :
- 338
- Database :
- Academic Search Index
- Journal :
- Applied Mathematics & Computation
- Publication Type :
- Academic Journal
- Accession number :
- 131294869
- Full Text :
- https://doi.org/10.1016/j.amc.2018.06.051