Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
DOI10.1080/07362994.2021.1950551zbMATH Open1495.60065OpenAlexW3194809827WikidataQ110650914 ScholiaQ110650914MaRDI QIDQ5085216FDOQ5085216
Authors: Trung-Thuy Kieu, Duc-Trong Luong, H. L. Ngo 
Publication date: 27 June 2022
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2021.1950551
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strong approximationEuler-Maruyama approximationpolynomial growth coefficientHölder continuous diffusion
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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- Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
Cited In (11)
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
- Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error
- Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
- Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
- A note on tamed Euler approximations
- A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
- The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
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