Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type. (English) Zbl 1504.65015
Summary: In this paper, we are concerned with the convergence rate of Euler-Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral, drift, and diffusion terms are allowed to be of polynomial growth. More precisely, for SDDEs of neutral type driven by Brownian motions, we reveal that the convergence rate of the corresponding EM scheme is one-half; Whereas for SDDEs of neutral type driven by pure jump processes, we show that the best convergence rate of the associated EM scheme is slower than one-half. As a result, the convergence rate of general SDDEs of neutral type, which is dominated by pure jump process, is slower than one-half.
MSC:
| 65C30 | Numerical solutions to stochastic differential and integral equations |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
Keywords:
stochastic differential delay equation; neutral type; polynomial condition; Euler scheme; convergence rate; jump processesReferences:
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