Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

DOI10.1016/j.cam.2018.01.017zbMath1458.65008OpenAlexW2784939490MaRDI QIDQ1747313

Xiaoyue Li, Liangjian Hu, Xuerong Mao

Publication date: 4 May 2018

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.2018.01.017

zbMATH Keywords

stochastic differential equationstability analysisconvergence rateEuler-Maruyama methodKhasminskii-type condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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