Truncated Euler-Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient

被引：3

作者：

He, Jie ^{[1
]}

Gao, Shuaibin ^{[2
]}

Zhan, Weijun ^{[3
]}

Guo, Qian ^{[2
,4
]}

机构：

[1] Jiangsu Second Normal Univ, Dept Math, Nanjing, Peoples R China

[2] Shanghai Normal Univ, Dept Math, Shanghai, Peoples R China

[3] Anhui Normal Univ, Dept Math, Wuhu, Peoples R China

[4] Shanghai Normal Univ, Dept Math, Shanghai 200234, Peoples R China

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2023年 / 100卷 / 12期

基金：

中国国家自然科学基金;

关键词：

Truncated Euler-Maruyama; stochastic differential equation; fractional Brownian motion; convergence rate; SDES DRIVEN; CONVERGENCE; STABILITY; SCHEME;

D O I：

10.1080/00207160.2023.2266757

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we propose a truncated Euler-Maruyama scheme for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient. Meanwhile, the convergence rate of the numerical method is established. Numerical example is demonstrated to verify the theoretical results.

引用

页码：2184 / 2195

页数：12

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