Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions

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

zbMATH Keywords

stochastic differential equationstruncated Euler-Maruyama methodpositivity preserving propertystrong and weak convergence rates

Mathematics Subject Classification ID

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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An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients, Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model

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