Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient

DOI10.1080/00207160.2023.2266757OpenAlexW4387337737MaRDI QIDQ6193376

Jie He, Qian Guo, Shuaibin Gao, Weijun Zhan

Publication date: 13 February 2024

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2023.2266757

zbMATH Keywords

stochastic differential equationfractional Brownian motionconvergence ratetruncated Euler-Maruyama

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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