Mean square convergence of one-step methods for neutral stochastic differential delay equations
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摘要
This paper deals with strong approximations of the solutions of neutral stochastic differential delay equations (NSDDEs) in Itô sense. A general framework for the strong convergence of a class of drift-implicit one-step schemes to the solutions of NSDDEs is established. Two examples to illustrate the applicability of our results are provided.
论文关键词：Neutral stochastic differential delay equations,Drift-implicit one-step schemes,Mean square convergence,Consistency,Stochastic θ-methods,Milstein method
论文评审过程：Received 19 May 2008, Revised 27 July 2008, Accepted 29 July 2008, Available online 6 August 2008.
论文官网地址：https://doi.org/10.1016/j.amc.2008.07.034
