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Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

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arxiv 2009.03049 v1 pith:FXGHXCC2 submitted 2020-09-07 math.NA cs.NAmath.PR

Strong convergence rate of the truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

classification math.NA cs.NAmath.PR
keywords convergencedelaydifferentialequationseuler-maruyamajumpspoissonrate
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In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition.

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