Tamed EM scheme of neutral stochastic differential delay equations

摘要

In this paper, we investigate the convergence of the tamed Euler–Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local non-Lipschitz conditions, respectively. Moreover, under the global Lipschitz condition, we provide the convergence rate of tamed EM scheme, which could be the same as the convergence rate of classical EM scheme one half.