Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients

DOI10.1016/j.spl.2018.09.006zbMath1418.60102OpenAlexW2891668637MaRDI QIDQ1726779

Duc-Trong Luong, Hoang-Long Ngo

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.09.006

zbMATH Keywords

stochastic differential equationstrong approximationirregular coefficientsHödler continuous diffusionsuper-linearly growing coefficienttamed Euler scheme

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)

Related Items

Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients, Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients, Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion, Truncated Milstein method for non-autonomous stochastic differential equations and its modification

Cites Work

• Unnamed Item
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• A note on tamed Euler approximations
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
• On the uniqueness of solutions of stochastic differential equations
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• OUP accepted manuscript
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence