Convergence of Numerical Solution of The Tamed Milstein Method for NSDDEs

03/13/2022

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by   Qiquan Fan, et al.

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In this paper, we apply the tamed technique to the Milstein numerical scheme to investigate Neutral Stochastic Delay Differential Equations(NSDDEs) with highly nonlinear coefficients. Under the local Lipschitz condition and Khasminskii condition, the tamed Milstein numerical solution converges strongly to the exact solution.