Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift

Abstract

This paper is concerned with strong convergence of a tamed theta scheme for neutral stochastic differential delay equations with one-sided Lipschitz drift. Strong convergence rate is revealed under a global one-sided Lipschitz condition, while for a local one-sided Lipschitz condition, the tamed theta scheme is modified to ensure the well-posedness of implicit numerical schemes, then we show the convergence of the numerical solutions.