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)

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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.

  • Item type:Article
    ID code:69559
    Dates:
    Date
    Event
    1 March 2020
    Published
    16 August 2019
    Published Online
    16 August 2019
    Accepted
    Subjects:Science > Mathematics
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:02 Sep 2019 11:32
    Last modified:23 Apr 2024 00:17
    URI:https://strathprints.strath.ac.uk/id/eprint/69559
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