Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Levy-driven SDEs with irregular coefficients

被引：3

作者：

Trung-Thuy Kieu ^{[1
]}

Duc-Trong Luong ^{[1
]}

Hoang-Long Ngo ^{[1
]}

Ngoc Khue Tran ^{[2
]}

机构：

[1] Hanoi Natl Univ Educ, Hanoi, Vietnam

[2] Hanoi Univ Sci & Technol, Sch Appl Math & Informat, 1 Dai Co Viet, Hanoi, Vietnam

来源：

COMPUTATIONAL & APPLIED MATHEMATICS | 2022年 / 41卷 / 07期

关键词：

Euler-Maruyama approximation; Holder continuous diffusion; Strong approximation; Polynomial growth coefficient; STOCHASTIC DIFFERENTIAL-EQUATIONS; JUMP-EXTENDED CIR; BACKWARD EULER; DIFFUSION; APPROXIMATIONS; STABILITY; RATES;

D O I：

10.1007/s40314-022-02015-w

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A tamed-adaptive Euler-Maruyama approximation scheme is proposed for Levy-driven stochastic differential equations with locally Lipschitz continuous, polynomial growth drift, and locally Holder continuous, polynomial growth diffusion coefficients. The new scheme converges in both finite and infinite time intervals under some suitable conditions on the regularity and the growth of the coefficients.

引用

页数：31

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