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- Title
A modified split-step truncated Euler-Maruyama method for SDEs with non-globally Lips-chitz continuous coefficients.
- Authors
Haghighi, Amir
- Abstract
In this paper, we propose an explicit diffuse the split-step truncated Euler-Maruyama (DSSTEM) method for stochastic differential equations with non-global Lipschitz coefficients. We investigate the strong convergence of the new method under local Lipschitz and Khasiminskii-type conditions. We show that the newly proposed method achieves a strong convergence rate arbitrarily close to half under some additional conditions. Finally, we illustrate the efficiency and performance of the proposed method with numerical results.
- Subjects
LIPSCHITZ spaces; STOCHASTIC convergence; NUMERICAL analysis; STOCHASTIC differential equations; MATHEMATICAL models
- Publication
Computational Methods for Differential Equations, 2023, Vol 11, Issue 3, p522
- ISSN
2345-3982
- Publication type
Article
- DOI
10.22034/cmde.2022.52638.2212