Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
DOI10.1016/j.jco.2024.101833arXiv2305.07298MaRDI QIDQ6193957
Hoang-Long Ngo, Nhat-An Pho, Minh-Thang Do
Publication date: 19 March 2024
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2305.07298
stochastic differential equationsdiscontinuous drifttamed Euler-Maruyamaadaptive Euler-Maruyamaglobally in-time approximationlocally Hölder continuous diffusion
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- 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
- The truncated Euler-Maruyama method for stochastic differential equations
- Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
- On some non asymptotic bounds for the Euler scheme
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- A note on tamed Euler approximations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
- Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
- Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Approximation of SDEs: a stochastic sewing approach
- An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
- 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 regularisation of the noise for the Euler-Maruyama scheme with irregular 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
- An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
- OUP accepted manuscript
- A strong order 3/4 method for SDEs with discontinuous drift coefficient
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
This page was built for publication: Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
