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

DOI10.1016/j.cam.2019.112379zbMath1490.65010OpenAlexW2970558938MaRDI QIDQ2332700

Xuerong Mao, Fuke Wu, Peter E. Kloeden, Hao Yang

Publication date: 5 November 2019

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.2019.112379

zbMATH Keywords

strong convergenceHölder diffusion coefficientstruncated EM

Mathematics Subject Classification ID

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

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