CONVERGENCE OF MODIFIED TRUNCATED EULER-MARUYAMA METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH HOLDER DIFFUSION COEFFICIENTS  

作　　者：Guangqiang Lan Yu Jiang 

机构地区：[1]College of Mathematics and Physics,Beijing University of Chemical Technology,Beijing 100029,China

出　　处：《Journal of Computational Mathematics》2024年第4期1109-1123,共15页计算数学（英文）

基　　金：supported by the Natural Science Foundation of Beijing Municipality(Grant No.1192013).

摘　　要：Convergence of modified truncated Euler-Maruyama(MTEM)method for stochastic differential equations(SDEs)with(1/2+α)-Holder continuous diffusion coefficients are investigated in this paper.We prove that the MTEM method for SDE converges to the exact solution in L9 sense under given conditions.Two examples are provided to support our conclusions.

关 键 词：Stochastic differential equations Modified truncated Euler-Maruyama method Strong convergence One-sided Lipschitz Holder continuous 

分 类 号：O17[理学—数学]