Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients

DOI10.1007/S40314-022-02015-WMaRDI QIDQ2675769zbMATH OpenOpenAlexFDO

Authors Trung-Thuy Kieu, Duc-Trong Luong, H. L. Ngo, Ngoc Khue Tran

Publication date 26 September 2022

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40314-022-02015-w

zbMATH Keywords

Euler-Maruyama approximationHölder continuous diffusionpolynomial growth coefficientstrong approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
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• Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
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• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Financial Modelling with Jump Processes
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• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
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• On the uniqueness of solutions of stochastic differential equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
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Cited in

(10)

• On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
• Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
• On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
• Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
• Convergence and stability of the partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Poisson jumps
• A multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients
• Convergence of a positivity preserving logarithmic truncated EM method for SDEs with discontinuous drift coefficients
• A tamed-adaptive Milstein scheme for stochastic differential equations with low regularity coefficients
• On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
• Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift

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