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

DOI10.1007/S10444-024-10131-WMaRDI QIDQ6495877zbMATH OpenFDO

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)

Recommendations

• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally 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
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

Cites work

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

Cited in

(2)

• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient

This page was built for publication: The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6495877)