Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

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Liu, Wei and Mao, Xuerong and Tang, Jingwen and Wu, Yue (2020) Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations. Applied Numerical Mathematics, 153. pp. 66-81. ISSN 0168-9274 (https://doi.org/10.1016/j.apnum.2020.02.007)

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Abstract

The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder continuity in the temporal variable and the super-linear growth in the state variable. The strong convergence with the convergence rate is proved. Moreover, the strong convergence of the truncated EM method for a class of highly non-linear time-changed SDEs is studied.

ORCID iDs

Liu, Wei, Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864, Tang, Jingwen and Wu, Yue;
  • Item type:Article
    ID code:71472
    Dates:
    Date
    Event
    31 July 2020
    Published
    12 February 2020
    Published Online
    9 February 2020
    Accepted
    Subjects:Science > Mathematics
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:14 Feb 2020 01:21
    Last modified:11 Nov 2024 12:35
    URI:https://strathprints.strath.ac.uk/id/eprint/71472
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