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

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  • Tan, Li
  • Yuan, Chenggui

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.

Suggested Citation

  • Tan, Li & Yuan, Chenggui, 2018. "Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift," Applied Mathematics and Computation, Elsevier, vol. 338(C), pages 607-623.
    • Handle: RePEc:eee:apmaco:v:338:y:2018:i:c:p:607-623
    DOI: 10.1016/j.amc.2018.06.051
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    References listed on IDEAS

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    1. Zhou, Shaobo, 2015. "Exponential stability of numerical solution to neutral stochastic functional differential equation," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 441-461.
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    Cited by:

    1. Huang, Jun & Yang, Lin & Trinh, Hieu, 2021. "Robust control for incremental quadratic constrained nonlinear time-delay systems subject to actuator saturation," Applied Mathematics and Computation, Elsevier, vol. 405(C).
    2. Li, Min & Huang, Chengming, 2020. "Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition," Applied Mathematics and Computation, Elsevier, vol. 366(C).

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