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 |
|---|---|
| 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
Long-time dynamics of numerical solutions of stochastic differential equations
1/10/16 → 30/09/21
Project: Research
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
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
Cite this
Liu, W., Mao, X., Tang, J., & Wu, Y. (2020). Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations. Applied Numerical Mathematics, 153, 66-81. https://doi.org/10.1016/j.apnum.2020.02.007