The truncated Euler-Maruyama method for stochastic differential equations

DOI10.1016/j.cam.2015.06.002zbMath1330.65016OpenAlexW1621950790MaRDI QIDQ492112

Xuerong Mao

Publication date: 19 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.06.002

zbMATH Keywords

stochastic differential equationstrong convergencelocal Lipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for variational inequalities and related problems (65K15)

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Uses Software

• Mathematica

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