Convergence, Non-negativity and Stability of a New Tamed Euler–Maruyama Scheme for Stochastic Differential Equations with Hölder Continuous Diffusion Coefficient

被引：0

作者：

Trung-Thuy Kieu

Duc-Trong Luong

Hoang-Long Ngo

Thu-Thuy Nguyen

机构：

[1] Hanoi National University of Education,Department of Mathematics

来源：

Vietnam Journal of Mathematics | 2020年 / 48卷

关键词：

Exponential stability; Hölder continuous diffusion; Non-negativity; Stochastic differential equation; Tamed Euler–Maruyama approximation; 65C30; 65L20; 60H10;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We propose and analyze a new tamed Euler–Maruyama approximation scheme for stochastic differential equations with Hölder continuous diffusion. This new scheme preserves the stability and non-negativity of the exact solution.

引用

页码：107 / 124

页数：17

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