Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
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Publication:2088864
DOI10.1016/j.cam.2022.114758zbMath1504.65016OpenAlexW4292682799MaRDI QIDQ2088864
Ziyi Lei, Ziheng Chen, Si-qing Gan
Publication date: 6 October 2022
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.2022.114758
stochastic differential equationstruncated Euler-Maruyama methodpositivity preserving propertystrong and weak convergence rates
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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