Journal title
APPLIED NUMERICAL MATHEMATICS
DOI
10.1016/j.apnum.2020.02.007
Volume
153
Last updated
2024-04-22T10:45:01.88+01:00
Page
66-81
Abstract
© 2020 IMACS The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the Hölder 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.
Symplectic ID
1087826
Submitted to ORA
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Publication type
Journal Article
Publication date
01 Jul 2020