The partially truncated Euler-Maruyama method and its stability and boundedness
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Guo, Qian and Liu, Wei and Mao, Xuerong and Yue, Rongxian (2017) The partially truncated Euler-Maruyama method and its stability and boundedness. Applied Numerical Mathematics, 115. pp. 235-251. ISSN 0168-9274 (https://doi.org/10.1016/j.apnum.2017.01.010)
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Abstract
The partially truncated Euler–Maruyama (EM) method is proposed in this paper for highly nonlinear stochastic differential equations (SDEs). We will not only establish the finite-time strong Lr-convergence theory for the partially truncated EM method, but also demonstrate the real benefit of the method by showing that the method can preserve the asymptotic stability and boundedness of the underlying SDEs.
ORCID iDs
Guo, Qian, Liu, Wei, Mao, Xuerong ORCID: https://orcid.org/0000-0002-6768-9864 and Yue, Rongxian;-
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Item type: Article ID code: 59581 Dates: DateEvent1 May 2017Published27 January 2017Published Online23 January 2017Accepted11 January 2016SubmittedNotes: © 2017 IMACS. Published by Elsevier B.V. All rights reserved. Qian Guo, Wei Liu, Xuerong Mao, Rongxian Yue, The partially truncated Euler–Maruyama method and its stability and boundedness, Applied Numerical Mathematics, Volume 115, 2017, Pages 235-251, https://doi.org/10.1016/j.apnum.2017.01.010 Subjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 25 Jan 2017 09:24 Last modified: 12 Dec 2024 05:02 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/59581
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