Convergence of Modified Truncated Euler-Maruyama Method for Stochastic Differential Equations with Hölder Diffusion Coefficients
Year: 2024
Author: Guangqiang Lan, Yu Jiang
Journal of Computational Mathematics, Vol. 42 (2024), Iss. 4 : pp. 1109–1123
Abstract
Convergence of modified truncated Euler-Maruyama (MTEM) method for stochastic differential equations (SDEs) with $(1/2 + α)$-Hölder continuous diffusion coefficients are investigated in this paper. We prove that the MTEM method for SDE converges to the exact solution in $L^q$ sense under given conditions. Two examples are provided to support our conclusions.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2302-m2022-0246
Journal of Computational Mathematics, Vol. 42 (2024), Iss. 4 : pp. 1109–1123
Published online: 2024-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 15
Keywords: Stochastic differential equations Modified truncated Euler-Maruyama method Strong convergence One-sided Lipschitz Hölder continuous.