The truncated EM method for jump-diffusion SDDEs with super-linearly growing diffusion and jump coefficients

Deng, Shounian and Fei, Chen and Fei, Weiyin and Mao, Xuerong (2023) The truncated EM method for jump-diffusion SDDEs with super-linearly growing diffusion and jump coefficients. Journal of Computational Mathematics, 42. pp. 178-216. ISSN 0254-9409 (https://doi.org/10.4208/jcm.2204-m2021-0270)

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Abstract

This work is concerned with the convergence and stability of the truncated Euler-Maruyama (EM) method for super-linear stochastic differential delay equations (SDDEs) with time-variable delay and Poisson jumps. By constructing appropriate truncated functions to control the super-linear growth of the original coefficients, we present two types of the truncated EM method for such jump-diffusion SDDEs with time-variable delay, which is proposed to be approximated by the value taken at the nearest grid points on the left of the delayed argument. The first type is proved to have a strong convergence order which is arbitrarily close to 1=2 in mean-square sense, under the Khasminskii-type, global monotonicity with U function and polynomial growth conditions. The second type is convergent in qth (q < 2) moment under the local Lipschitz plus generalized Khasminskii-type conditions. In addition, we show that the partially truncated EM method preserves the mean-square and H1 stabilities of the true solutions. Lastly, we carry out some numerical experiments to support the theoretical results.

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