Abstract
In this paper, the numerical solutions of doubly perturbed stochastic delay differential equations driven by Lèvy process are investigated. Using the Euler–Maruyama method, we define the numerical solutions, and show that the numerical solutions converge to the true solutions under the local Lipschitz condition. As a corollary, we give the order of convergence under the global Lipschtiz condition.
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Acknowledgments
The authors would like to thank two anonymous referees for their helpful comments and suggestions which greatly improved this paper. This paper was partially supported by the National Science Foundation of P. R. China (10871041).
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Wu, X., Yan, L. Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lèvy process. Arab. J. Math. 1, 251–265 (2012). https://doi.org/10.1007/s40065-012-0026-1
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DOI: https://doi.org/10.1007/s40065-012-0026-1