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Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps |
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| Authors: | Shuaibin GAO Junhao HU Li TAN Chenggui YUAN |
| Affiliation: | 1. School of Mathematics and Statistics, South-Central University for Nationalities, Wuhan 430074, China2. School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China3. Research Center of Applied Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China4. Department of Mathematics, Swansea University, Swansea, SA2 8PP, UK |
| Abstract: | 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. |
| Keywords: | Truncated Euler-Maruyama method stochastic differential delay equations Poisson jumps rate of the convergence |
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