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

Hao Yang, Fuke Wu, Peter E. Kloeden, Xuerong Mao

Research output: Contribution to journalArticle

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. 
Original languageEnglish
Article number112379
Number of pages13
JournalJournal of Computational and Applied Mathematics
Volume366
Early online date16 Aug 2019
DOIs
Publication statusPublished - 1 Mar 2020

Keywords

  • strong convergence
  • truncated EM
  • Hölder diffusion coefficients

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