Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations

DOI10.1007/S10543-020-00810-7MaRDI QIDQ2216486zbMATHOpenAlexFDO

Authors Wei Liu, Chang-Song Deng

Publication date 16 December 2020

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.11408

zbMATH Keywords

strong convergencesemi-implicit Euler-Maruyama methodtime-changed stochastic differential equationsmean square polynomial stability subordinator

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The semi-implicit Euler-Maruyama (EM) method is investigated to approximate a class of time-changed stochastic differential equations, whose drift coefficient can grow super-linearly and diffusion coefficient obeys the global Lipschitz condition. The strong convergence of the semi-implicit EM is proved and the convergence rate is discussed. When the Bernstein function of the inverse subordinator (time-change) is regularly varying at zero, we establish the mean square polynomial stability of the underlying equations. In addition, the numerical method is proved to be able to preserve such an asymptotic property. Numerical simulations are presented to demonstrate the theoretical results.

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Cited in

(14)

• On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
• \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
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• EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION
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• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
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