Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and H\"older's continuous time variables
Numerical Analysis
2022-05-03 v2 Numerical Analysis
Probability
Abstract
An explicit numerical method is developed for a class of non-autonomous time-changed stochastic differential equations, whose coefficients obey H\"older's continuity in terms of the time variables and are allowed to grow super-linearly in terms of the state variables. The strong convergence of the method in the finite time interval is proved and the convergence rate is obtained. Numerical simulations are provided.
Cite
@article{arxiv.2110.02819,
title = {Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and H\"older's continuous time variables},
author = {Xiaotong Li and Wei Liu and Tianjiao Tang},
journal= {arXiv preprint arXiv:2110.02819},
year = {2022}
}
Comments
20 pages, 2 figures