Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients

Abstract

This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients. Convergence rates of [Formula: see text]-EM schemes are given for these equations driven by Brownian motion and pure jumps, respectively, where the drift terms satisfy locally one-sided Lipschitz conditions, and diffusion coefficients obey locally Lipschitz conditions, and the corresponding coefficients are highly nonlinear with respect to the delay terms.