The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations

DOI10.1007/S10444-024-10131-WMaRDI QIDQ6495877FDOQ6495877

Authors: Weijun Zhan, Yuyuan Li 

Publication date: 2 May 2024

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Cites Work

• A theory of the term structure of interest rates
• A note on the LaSalle-type theorems for stochastic differential delay equations
• A Stochastic Differential Equation SIS Epidemic Model
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
• The partially truncated Euler-Maruyama method and its stability and boundedness
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
• A note on the partially truncated Euler-Maruyama method

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