The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations

DOI10.1007/S10444-024-10131-WMaRDI QIDQ6495877

Yuyuan Li, Weijun Zhan

Publication date: 2 May 2024

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Cites Work

• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• A note on the LaSalle-type theorems for stochastic differential delay equations
• A note on the partially truncated Euler-Maruyama method
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
• A Theory of the Term Structure of Interest Rates
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
• A Stochastic Differential Equation SIS Epidemic Model
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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