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. 2021 Apr 13;16(2):395–423. doi: 10.1007/s11464-021-0914-9

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,✉
PMCID: PMC8042460  PMID: 33868393

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

Acknowledgements

The authors would like to thank the associate editor and referees for their helpful comments and suggestions. This work was supported by the National Natural Science Foundation of China (Grant Nos. 61876192, 12061034), the Natural Science Foundation of Jiangxi (Grant Nos. 20192ACBL21007, 2018ACB21001), the Fundamental Research Funds for the Central Universities (CZT20020), and Academic Team in Universities (KTZ20051).

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