Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
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Publication:2174239
DOI10.1007/s10013-019-00373-3OpenAlexW2988433556MaRDI QIDQ2174239
Duc-Trong Luong, Hoang-Long Ngo, Trung-Thuy Kieu, Thu Thuy Nguyen
Publication date: 21 April 2020
Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10013-019-00373-3
stochastic differential equationexponential stabilitynon-negativityHölder continuous diffusiontamed Euler-Maruyama approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)
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Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients ⋮ Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
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