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Home > Archive>Volume 13, Issue 5, 2021 >533-539. DOI:10.13878/j.cnki.jnuist.2021.05.004
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The truncated θ-EM method for a class of nonlinear neutral stochastic delay differential equations
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O241.8

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    Abstract:

    Here we consider a class of nonlinear neutral stochastic delay differential equations.The coefficients of the drift term and diffusion term could increase superlinearly, and the neutral term satisfies the contractive mapping condition.The truncated θ-EM method for this type of equations is established and the convergence rate is obtained.Finally, an example is given to verify the theoretical result.

    Reference
    [1] Mao X R.Stochastic differential equations and applications[M].2nd Ed.London:Woodhead Publishing,2007
    [2] Tan L,Yuan C G.Convergence rates of truncated theta-EM scheme for SDDEs[J].Scientia Sinica Mathematica,2020,50(1):137-154
    [3] Mao X R.Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations[J].Journal of Computational and Applied Mathematics,2016,296:362-375
    [4] Bao J H,Yuan C G.Convergence rate of EM scheme for SDDEs[J].Proceedings of the American Mathematical Society,2013,141(9):3231-3243
    [5] Gao S B,Hu J H.Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching[J].Advances in Difference Equations,2020(1):688-724
    [6] Zeidler E.Nonlinear functional analysis and its applications[M].New York,NY:Springer New York,1990
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LI Yan, WANG Zhaohang, GAO Shuaibin. The truncated θ-EM method for a class of nonlinear neutral stochastic delay differential equations[J]. Journal of Nanjing University of Information Science & Technology,2021,13(5):533-539

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History
  • Received:September 14,2021
  • Online: December 02,2021
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