TY - JOUR
T1 - Convergence of Modified Truncated Euler-Maruyama Method for Stochastic Differential Equations with Hölder Diffusion Coefficients
AU - Lan , Guangqiang
AU - Jiang , Yu
JO - Journal of Computational Mathematics
VL - 4
SP - 1109
EP - 1123
PY - 2024
DA - 2024/04
SN - 42
DO - http://doi.org/10.4208/jcm.2302-m2022-0246
UR - https://global-sci.org/intro/article_detail/jcm/23048.html
KW - Stochastic differential equations, Modified truncated Euler-Maruyama method, Strong convergence, One-sided Lipschitz, Hölder continuous.
AB - <p style="text-align: justify;">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.</p>