RESEARCH ARTICLE

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

  • Shuaibin GAO 1 ,
  • Junhao HU 1 ,
  • Li TAN 2,3 ,
  • Chenggui YUAN , 4
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  • 1. School of Mathematics and Statistics, South-Central University for Nationalities, Wuhan 430074, China
  • 2. School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China
  • 3. Research Center of Applied Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China
  • 4. Department of Mathematics, Swansea University, Swansea, SA2 8PP, UK

Received date: 15 Sep 2020

Accepted date: 26 Feb 2021

Published date: 15 Apr 2021

Copyright

2021 Higher Education Press

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.

Cite this article

Shuaibin GAO , Junhao HU , Li TAN , Chenggui YUAN . Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps[J]. Frontiers of Mathematics in China, 2021 , 16(2) : 395 -423 . DOI: 10.1007/s11464-021-0914-9

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