Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient

DOI10.1007/S10013-019-00373-3MaRDI QIDQ2174239zbMATH OpenOpenAlexFDO

Authors Trung-Thuy Kieu, Duc-Trong Luong, H. L. Ngo, Thu Thuy Nguyen

Publication date 21 April 2020

Published in Vietnam Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10013-019-00373-3

zbMATH Keywords

stochastic differential equationexponential stabilitynon-negativitytamed Euler-Maruyama approximationHölder continuous diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(3)

• Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

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