The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients

Tang, Yiyi and Mao, Xuerong (2024) The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients. Journal of Computational and Applied Mathematics, 440. 115660. ISSN 0377-0427 (https://doi.org/10.1016/j.cam.2023.115660)

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Abstract

Influenced by Gyöngy and Rásonyi (2011), many scholars established the strong convergence of several numerical methods for scalar stochastic differential equations (SDEs) with superlinearly growing drift and Hölder continuous diffusion coefficients. However, their methods depend on the Yamada-Watanabe method and therefore fail to work for multi-dimensional SDEs. In this paper, we study the strong Lp−convergence, for all p ⩾ 2, of the modified truncated Euler–Maruyama method for multi-dimensional SDEs with superlinearly growing drift and concave diffusion coefficients satisfying the Osgood condition. We also discuss an example with computer simulations to illustrate our theoretical results.

ORCID iDs

Tang, Yiyi and Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864;
  • Item type:Article
    ID code:87218
    Dates:
    Date
    Event
    30 April 2024
    Published
    6 November 2023
    Published Online
    30 October 2023
    Accepted
    9 March 2023
    Submitted
    Subjects:Science > Mathematics
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:07 Nov 2023 16:36
    Last modified:11 Nov 2024 14:08
    URI:https://strathprints.strath.ac.uk/id/eprint/87218
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