Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient

DOI10.1016/j.cam.2021.113895zbMath1483.65018OpenAlexW3208603794WikidataQ115359654 ScholiaQ115359654MaRDI QIDQ2059650

Hongfu Yang, Jian Hua Huang

Publication date: 14 December 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113895

zbMATH Keywords

stabilitystrong convergencepartially truncated Euler-Maruyama methodHölder diffusion coefficients

Mathematics Subject Classification ID

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

Related Items (1)

The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients

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
• The truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• First order strong approximations of scalar SDEs defined in a domain
• A note on tamed Euler approximations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
• Strong convergence rates of modified truncated EM method for stochastic differential equations
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• The Euler scheme with irregular coefficients
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
• Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
• 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
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• On the discretization schemes for the CIR (and Bessel squared) processes
• OUP accepted manuscript
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability

This page was built for publication: Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient