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.
- strong convergence
- truncated EM
- Hölder diffusion coefficients