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. ISSN 0168-9274 (In Press)
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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.
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Item type: Article ID code: 59581 Dates: DateEvent23 January 2017Published23 January 2017AcceptedSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 25 Jan 2017 09:24 Last modified: 14 Apr 2024 00:39 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/59581
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