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arXiv · 2110.02819

Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and H\"older's continuous time variables

Xiaotong Li·Wei Liu·Tianjiao Tang
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Abstract

An explicit numerical method is developed for a class of non-autonomous time-changed stochastic differential equations, whose coefficients obey H\"older's continuity in terms of the time variables and are allowed to grow super-linearly in terms of the state variables. The strong convergence of the method in the finite time interval is proved and the convergence rate is obtained. Numerical simulations are provided.

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Xiaotong Li, Wei Liu, Tianjiao Tang. 2021-10-06. Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and H\"older's continuous time variables. https://arxiv.org/abs/2110.02819

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