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

DOI10.1016/J.APNUM.2020.02.007MaRDI QIDQ1986138zbMATH OpenOpenAlexFDO

Authors Wei Liu, Xuerong Mao, Jingwen Tang, Yue Wu

Publication date 7 April 2020

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.00683

zbMATH Keywords

strong convergencetruncated Euler-Maruyama methodnon-autonomous stochastic differential equationssuperlinear coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the H"older 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.

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Cited in

(22)

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