Strong convergence of the tamed Euler-Maruyama method for stochastic singular initial value problems with non-globally Lipschitz continuous coefficients

DOI10.1016/J.APNUM.2024.07.001zbMATH Open1546.65007MaRDI QIDQ6593425

Nan Deng, Wanrong Cao, Yan Li

Publication date: 26 August 2024

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

strong convergenceexplicit methodsuperlinearly growing coefficientsstochastic singular initial value problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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