Convergence of modified truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients

DOI10.4208/jcm.2302-m2022-0246MaRDI QIDQ6617015

Guangqiang Lan, Yunping Jiang

Publication date: 9 October 2024

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

zbMATH Keywords

strong convergencestochastic differential equationsHölder continuousmodified truncated Euler-Maruyama methodone-sided Lipschitz

Mathematics Subject Classification ID

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

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