A note on the partially truncated Euler-Maruyama method

DOI10.1016/j.apnum.2018.04.004zbMath1397.65017OpenAlexW2797178545MaRDI QIDQ1748428

Xuerong Mao, Wei Liu, Qian Guo

Publication date: 11 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.04.004

zbMATH Keywords

stochastic differential equationconvergence ratelocal Lipschitz conditionKhasminskii-type conditionpartially truncated Euler-Maruyama method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

The truncated EM method for stochastic differential equations with Poisson jumps ⋮ The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero ⋮ The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching ⋮ Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients ⋮ The partially truncated Euler-Maruyama method for nonlinear pantograph stochastic differential equations ⋮ A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations ⋮ Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations

Cites Work

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• Khasminskii-type theorems for stochastic functional differential equations
• The truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Stability of regime-switching stochastic differential equations
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Stochastic Differential Equations with Markovian Switching

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