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

共 32 条

[21] On the Euler-Maruyama scheme for spectrally one-sided Levy driven SDEs with Holder continuous coefficients
Li, Libo
Taguchi, Dai
[J]. STATISTICS & PROBABILITY LETTERS, 2019, 146 : 15 - 26
[22] Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
Li, Min
Huang, Chengming
Chen, Ziheng
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2021, 393
[23] Strong solutions for stochastic differential equations with jumps
Li, Zenghu
Mytnik, Leonid
[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2011, 47 (04): : 1055 - 1067
[24] Oksendal B., 2007, APPL STOCHASTIC CONT
[25] Platen E, 2010, STOCH MOD APPL PROBA, V64, P1, DOI 10.1007/978-3-642-13694-8
[26] Revuz D., 1999, GRUNDLEHREN MATH WIS, DOI [10.1007/978-3-662-06400-9, DOI 10.1007/978-3-662-06400-9]
[27] A note on tamed Euler approximations
Sabanis, Sotirios
[J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2013, 18 : 1 - 10
[28] Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Holder continuous diffusion coefficients
Trung-Thuy Kieu
Duc-Trong Luong
Hoang-Long Ngo
[J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2022, 40 (04) : 714 - 734
[29] Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity
Xi, Fubao
Zhu, Chao
[J]. JOURNAL OF DIFFERENTIAL EQUATIONS, 2019, 266 (08) : 4668 - 4711
[30] Yamada T., 1971, J MATH KYOTO U, V11, P155, DOI [10.1215/kjm/1250523691, DOI 10.1215/KJM/1250523691]

← 1 2 3 4 →