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

DOI10.1007/S10543-020-00810-7zbMATH Open1469.65028arXiv1907.11408OpenAlexW3025554787MaRDI QIDQ2216486FDOQ2216486

Authors: Wei Liu, Chang-Song Deng 

Publication date: 16 December 2020

Published in: BIT (Search for Journal in Brave)

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.

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

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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)

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Cited In (14)

• \(\eta\)-stability for stochastic functional differential equation driven by time-changed Brownian motion
• Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
• Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
• A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion
• On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
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• An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise
• Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential
• Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
• EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION
• Polynomial stability of highly non-linear time-changed stochastic differential equations

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