A modified split-step truncated Euler-Maruyama method for SDEs with non-globally Lips- chitz continuous coefficients

被引：1

作者：

Haghighi, Amir ^{[1
]}

机构：

[1] Razi Univ, Fac Sci, Dept Math, Kermanshah, Iran

来源：

COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS | 2023年 / 11卷 / 03期

关键词：

Local Lipschitz condition; Khasiminskii condition; Truncated method; Split-step method; Strong convergence; STOCHASTIC DIFFERENTIAL-EQUATIONS; STRONG-CONVERGENCE; STABILITY; APPROXIMATION;

D O I：

10.22034/cmde.2022.52638.2212

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we propose an explicit diffuse the split-step truncated Euler-Maruyama (DSSTEM) method for stochastic differential equations with non-global Lipschitz coefficients. We investigate the strong convergence of the new method under local Lipschitz and Khasiminskii-type conditions. We show that the newly proposed method achieves a strong convergence rate arbitrarily close to half under some additional conditions. Finally, we illustrate the efficiency and performance of the proposed method with numerical results.

引用

页码：522 / 534

页数：13

共 18 条

[1] A Truncated Split-Step Forward Euler-Maruyama-Based Method for Stochastic Systems with Non-globally Lipschitz Coefficients
Haghighi, Amir
IRANIAN JOURNAL OF SCIENCE, 2023, 47 (01) : 137 - 153
[2] A Truncated Split-Step Forward Euler–Maruyama-Based Method for Stochastic Systems with Non-globally Lipschitz Coefficients
Amir Haghighi
Iranian Journal of Science, 2023, 47 : 137 - 153
[3] Split-step balanced θ-method for SDEs with non-globally Lipschitz continuous coefficients
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[4] Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
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[5] Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
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[6] Strong convergence of the tamed Euler-Maruyama method for stochastic singular initial value problems with non-globally Lipschitz continuous coefficients
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[7] Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
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JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2025, 461
[8] Stability of the analytic solution and the partially truncated Euler-Maruyama method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
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Cheng, Meiyu
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INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2023, 100 (02) : 383 - 404
[9] CONVERGENCE OF MODIFIED TRUNCATED EULER-MARUYAMA METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH HOLDER DIFFUSION COEFFICIENTS
Lan, Guangqiang
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JOURNAL OF COMPUTATIONAL MATHEMATICS, 2024, 42 (04): : 1109 - 1123
[10] The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients
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JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2024, 440

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