The logarithmic truncated EM method with weaker conditions

DOI10.1016/J.APNUM.2024.01.009MaRDI QIDQ6546892zbMATH OpenWikidataFDO

Authors Yiyi Tang, Xuerong Mao

Publication date 30 May 2024

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.APNUM.2024.01.009

zbMATH Keywords

logarithmic truncated Euler-Mayurama methodstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
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Cites work

• A comparison of biased simulation schemes for stochastic volatility models
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
• First order strong approximations of scalar SDEs defined in a domain
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Optimal strong approximation of the one-dimensional squared Bessel process
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Stochastic differential equations and applications.
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(4)

• Strong order one convergence of the projected Euler-Maruyama method for scalar SDEs defined in the positive domain
• Convergence of a positivity preserving logarithmic truncated EM method for SDEs with discontinuous drift coefficients
• Strong order one convergence of the projected Euler-Maruyama method for the Wright-Fisher model
• Two novel domain-preserving schemes for a class of stochastic differential equations defined in a domain

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