Strong convergence of the truncated Milstein numerical solution of neutral stochastic delay differential equations.

The convergence of numerical solutions for Milstein Neutral Stochastic Delay Differential Equations with nonlinear coefficients is studied. A truncated Milstein numerical scheme is constructed for neutral stochastic delay differential equations with highly nonlinear coefficients by combining the truncation idea with the Milstein numerical scheme. Under the local Lipschitz condition and Khasminskii condition, it is proved that the truncated Milstein numerical solution L^p converges strongly to the exact solution for a neutral stochastic delay differential equation. The correctness of the conclusion is verified by numerical simulation for a specific neutral stochastic delay differential equation. [ABSTRACT FROM AUTHOR]