| Issue |
Wuhan Univ. J. Nat. Sci.
Volume 28, Number 5, October 2023
|
|
|---|---|---|
| Page(s) | 399 - 410 | |
| DOI | https://doi.org/10.1051/wujns/2023285399 | |
| Published online | 10 November 2023 | |
Mathematics
CLC number: O241.8
Convergence Rates for the Truncated Euler-Maruyama Method for Nonlinear Stochastic Differential Equations
1
School of Statistics and Mathematics, Hubei University of Economics, Wuhan 430205, Hubei, China
2
Hubei Center for Data and Analysis, Hubei University of Economics, Wuhan 430205, Hubei, China
3
School of Science, Wuhan University of Technology, Wuhan 430074, Hubei, China
Received:
16
April
2023
In this paper, our main aim is to investigate the strong convergence rate of the truncated Euler-Maruyama approximations for stochastic differential equations with superlinearly growing drift coefficients. When the diffusion coefficient is polynomially growing or linearly growing, the strong convergence rate of arbitrarily close to one half is established at a single time T or over a time interval [0,T], respectively. In both situations, the common one-sided Lipschitz and polynomial growth conditions for the drift coefficients are not required. Two examples are provided to illustrate the theory.
Key words: truncated Euler-Maruyama method / strong convergence / moment boundedness
Biography: MENG Xuejing, female, Associate professor, research direction: stochastic differential equations and applications. E-mail:mengxuejing18@163.com
© Wuhan University 2023
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