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 language | English |
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Article number | 112379 |
Number of pages | 13 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 366 |
Early online date | 16 Aug 2019 |
DOIs | |
Publication status | Published - 1 Mar 2020 |
Keywords
- strong convergence
- truncated EM
- Hölder diffusion coefficients