The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition

DOI10.4208/JCM.2109-M2021-0116MaRDI QIDQ5881402zbMATH OpenOpenAlexWikidataFDO

Authors Yidan Geng, Minghui Song, M. Z. Liu

Publication date 10 March 2023

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

Full work available at URL https://doi.org/10.4208/jcm.2109-m2021-0116

zbMATH Keywords

stochastic differential equationsone-sided Lipschitz conditiontruncated Euler-Maruyama methodpiecewise continuous argument

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites work

• scientific article; zbMATH DE number 825873 (Why is no real title available?)
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• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
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Cited in

(6)

• Convergence and stability of the truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
• The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
• Strong convergence of explicit numerical schemes for stochastic differential equations with piecewise continuous arguments
• Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
• Convergence and stability of an explicit numerical method for stochastic differential equations with piecewise continuous arguments
• The Euler-Maruyama approximation of solutions to stochastic differential equations with piecewise constant arguments

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