@Article{JCM-42-1109, author = {Lan , Guangqiang and Jiang , Yu}, title = {Convergence of Modified Truncated Euler-Maruyama Method for Stochastic Differential Equations with Hölder Diffusion Coefficients}, journal = {Journal of Computational Mathematics}, year = {2024}, volume = {42}, number = {4}, pages = {1109--1123}, abstract = {
Convergence of modified truncated Euler-Maruyama (MTEM) method for stochastic differential equations (SDEs) with $(1/2 + α)$-Hölder continuous diffusion coefficients are investigated in this paper. We prove that the MTEM method for SDE converges to the exact solution in $L^q$ sense under given conditions. Two examples are provided to support our conclusions.
}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.2302-m2022-0246}, url = {http://global-sci.org/intro/article_detail/jcm/23048.html} }