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-M2021-0116OpenAlexW4320516538WikidataQ117217807 ScholiaQ117217807MaRDI QIDQ5881402FDOQ5881402

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

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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)

Cites Work

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• Stability of the stochastic \(\theta\)-method for super-linear stochastic differential equations with unbounded delay

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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