Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

DOI10.1016/j.apnum.2020.02.007zbMath1456.65007arXiv1812.00683OpenAlexW3006192377MaRDI QIDQ1986138

Jingwen Tang, Xuerong Mao, Wei Liu, Yue Wu

Publication date: 7 April 2020

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

Full work available at URL: https://arxiv.org/abs/1812.00683

zbMATH Keywords

strong convergencetruncated Euler-Maruyama methodnon-autonomous stochastic differential equationssuperlinear coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (13)

Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching ⋮ An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise ⋮ The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations ⋮ Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion ⋮ Polynomial stability of highly non-linear time-changed stochastic differential equations ⋮ Truncated Milstein method for non-autonomous stochastic differential equations and its modification ⋮ The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps ⋮ 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 ⋮ Stability of stochastic differential equations driven by the time-changed Lévy process with impulsive effects

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