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

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

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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.