Projects per year
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 language | English |
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Pages (from-to) | 66-81 |
Number of pages | 16 |
Journal | Applied Numerical Mathematics |
Volume | 153 |
Early online date | 12 Feb 2020 |
DOIs | |
Publication status | Published - 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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Projects
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Long-time dynamics of numerical solutions of stochastic differential equations
1/10/16 → 30/09/21
Project: Research
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Ergodicity and invariant measures of stochastic delay systems driven by various noises and their applications (Prof. Fuke Wu)
16/03/17 → 15/06/20
Project: Research Fellowship
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Epsrc Doctoral Training Grant | Liang, Yanfeng
Greenhalgh, D., Mao, X. & Liang, Y.
EPSRC (Engineering and Physical Sciences Research Council)
1/10/12 → 3/10/16
Project: Research Studentship - Internally Allocated