Convergence of modified truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients

DOI10.4208/JCM.2302-M2022-0246MaRDI QIDQ6617015zbMATH OpenFDO

Authors Guangqiang Lan, Yunping Jiang

Publication date 9 October 2024

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/JCM.2302-M2022-0246

zbMATH Keywords

Hölder continuousmodified truncated Euler-Maruyama methodone-sided Lipschitzstochastic differential equationsstrong convergence

Mathematics Subject Classification ID

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

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Cites work

• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Convergence and stability of the truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Demographic stochasticity in the SDE SIS epidemic model
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
• On the discretization schemes for the CIR (and Bessel squared) processes
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence rates of modified truncated EM method for stochastic differential equations
• Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
• The truncated Euler-Maruyama method for stochastic differential equations
• The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
• The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

Cited in

(3)

• The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients
• Modified Runge-Kutta method with convergence analysis for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• The convergence analyzed by stochastic C-stability and stochastic B-consistency of split-step theta method for the stochastic differential equations

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