CONVERGENCE RATE OF THE TRUNCATED EULER-MARUYAMA METHOD FOR NEUTRAL STOCHASTIC DIFFERENTIAL DELAY EQUATIONS WITH MARKOVIAN SWITCHING

• 来源期刊: 计算数学（英文版）
• 年，卷（期）: 2020,（6）
• 页码范围: 903-932
• 页数: 30页
• 语种: 英文
• DOI: 10.4208/jcm.1906-m2018-0237

摘要

The key aim of this paper is to show the strong convergence of the truncated EulerMaruyama 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.