Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

Wei Liu, Xuerong Mao, Jingwen Tang, Yue Wu

Research output: Contribution to journalArticle

Abstract

The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder continuity in the temporal variable and the super-linear growth in the state variable. The strong convergence with the convergence rate is proved. Moreover, the strong convergence of the truncated EM method for a class of highly non-linear time-changed SDEs is studied.
Original languageEnglish
Pages (from-to)66-81
Number of pages16
JournalApplied Numerical Mathematics
Volume153
Early online date12 Feb 2020
DOIs
Publication statusPublished - 31 Jul 2020

Keywords

  • truncated Euler-Maruyama method
  • non-autonomous stochastic differential equations
  • strong convergence
  • super linear coefficients
  • time-changes stochastic differential equations

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