Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
From MaRDI portal
Publication:5085216
DOI10.1080/07362994.2021.1950551zbMath1495.60065OpenAlexW3194809827WikidataQ110650914 ScholiaQ110650914MaRDI QIDQ5085216
Trung-Thuy Kieu, Duc-Trong Luong, Hoang-Long Ngo
Publication date: 27 June 2022
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2021.1950551
strong approximationEuler-Maruyama approximationHölder continuous diffusionpolynomial growth coefficient
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)
Related Items
Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients, Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
Cites Work
- Unnamed Item
- 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
- Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- A note on tamed Euler approximations
- Mathematical methods for financial markets.
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
- 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
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- On the Moments of the Modulus of Continuity of Itô Processes
