Stopped Brownian-increment tamed Euler method
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Publication:6397495
arXiv2204.12254MaRDI QIDQ6397495FDOQ6397495
Martin Hutzenthaler, Kai Kisker
Publication date: 26 April 2022
Abstract: In this article we propose a new explicit Euler-type approximation method for stochastic differential equations (SDEs). In this method, Brownian increments in the recursion of the Euler method are replaced by suitable bounded functions of the Brownian increments. We prove strong convergence rate one-half for a large class of SDEs with polynomial coefficient functions whose local monotonicity constant grows at most like the logarithm of a Lyapunov-type function.
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