The partially truncated Euler-Maruyama method and its stability and boundedness

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 logoORCID: https://orcid.org/0000-0002-6768-9864 and Yue, Rongxian;
  • Item type:Article
    ID code:59581
    Dates:
    Date
    Event
    1 May 2017
    Published
    27 January 2017
    Published Online
    23 January 2017
    Accepted
    11 January 2016
    Submitted
    Notes:© 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:11 Nov 2024 11:36
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/59581
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