TY - JOUR
T1 - Convergence Rate of the Truncated Euler-Maruyama Method for Neutral Stochastic Differential Delay Equations with Markovian Switching
AU - Zhang , Wei
JO - Journal of Computational Mathematics
VL - 6
SP - 903
EP - 932
PY - 2020
DA - 2020/06
SN - 38
DO - http://doi.org/10.4208/jcm.1906-m2018-0237
UR - https://global-sci.org/intro/article_detail/jcm/16973.html
KW - Neutral stochastic differential delay equations, Truncated Euler-Maruyama method, Local Lipschitz condition, Khasminskii-type condition, Markovian switching.
AB - <p style="text-align: justify;">The key aim of this paper is to show the strong convergence of the truncated Euler-Maruyama method for neutral stochastic differential delay equations (NSDDEs) with
Markovian switching (MS) without the linear growth condition. We present the truncated Euler-Maruyama method of NSDDEs-MS and consider its moment boundedness under
the local Lipschitz condition plus Khasminskii-type condition. We also study its strong
convergence rates at time $T$ and over a finite interval $[0, T]$. Some numerical examples are
given to illustrate the theoretical results.</p>