The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
Yang, Hao and Wu, Fuke and Kloeden, Peter E. and Mao, Xuerong (2020) The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients. Journal of Computational and Applied Mathematics, 366. 112379. ISSN 0377-0427 (https://doi.org/10.1016/j.cam.2019.112379)
Preview |
Text.
Filename: Yang_etal_JCAM_2019_The_truncated_Euler_Maruyama_method_for_stochastic_differential_equations.pdf
Accepted Author Manuscript License: Download (307kB)| Preview |
Abstract
In stochastic financial and biological models, the diffusion coefficients often involve the term √x, or more general |x|r for r ∈ (0,1), which is non-Lipschitz. In this paper, we study the strong convergence of the truncated Euler–Maruyama (EM) approximation first proposed by Mao (2015) for one-dimensional stochastic differential equations (SDEs) with superlinearly growing drifts and the Hölder continuous diffusion coefficients.
ORCID iDs
Yang, Hao, Wu, Fuke, Kloeden, Peter E. and Mao, Xuerong ORCID: https://orcid.org/0000-0002-6768-9864;-
-
Item type: Article ID code: 69559 Dates: DateEvent1 March 2020Published16 August 2019Published Online16 August 2019AcceptedSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 02 Sep 2019 11:32 Last modified: 28 Sep 2024 14:01 URI: https://strathprints.strath.ac.uk/id/eprint/69559