The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the H\"older continuity in the temporal variable and the super-linear growth in the state variable. The strong convergence with the convergence rate is proved. Moreover, the strong convergence of the truncated EM method for a class of highly non-linear time-changed SDEs is studied.
@article{arxiv.1812.00683,
title = {Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations},
author = {Wei Liu and Xuerong Mao and Jingwen Tang and Yue Wu},
journal= {arXiv preprint arXiv:1812.00683},
year = {2019}
}