Journal article
Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
- Abstract:
- The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder continuity in the temporal variable and the super-linear growth in the state variable. The strong convergence with the convergence rate is proved. Moreover, the strong convergence of the truncated EM method for a class of highly non-linear time-changed SDEs is studied.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Preview, Accepted manuscript, 435.5KB, Terms of use)
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- Publisher copy:
- 10.1016/j.apnum.2020.02.007
Authors
Bibliographic Details
- Publisher:
- Elsevier
- Journal:
- Applied Numerical Mathematics More from this journal
- Volume:
- 153
- Pages:
- 66-81
- Publication date:
- 2020-02-12
- Acceptance date:
- 2020-02-09
- DOI:
- EISSN:
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1873-5460
- ISSN:
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0168-9274
Item Description
- Language:
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English
- Keywords:
- Pubs id:
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1087826
- Local pid:
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pubs:1087826
- Deposit date:
-
2020-11-06
Terms of use
- Copyright holder:
- IMACS
- Copyright date:
- 2020
- Rights statement:
- © 2020 IMACS. Published by Elsevier B.V. All rights reserved.
- Notes:
- This is the accepted manuscript version of the article, available under the terms of a Creative Commons, Attribution, Non-Commercial, No Derivatives licence. The final version is available online from Elsevier at: https://doi.org/10.1016/j.apnum.2020.02.007
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