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Haghighi, Amir. (1402). A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients. سامانه مدیریت نشریات علمی, 11(3), 522-534. doi: 10.22034/cmde.2022.52638.2212
Amir Haghighi. "A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients". سامانه مدیریت نشریات علمی, 11, 3, 1402, 522-534. doi: 10.22034/cmde.2022.52638.2212
Haghighi, Amir. (1402). 'A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients', سامانه مدیریت نشریات علمی, 11(3), pp. 522-534. doi: 10.22034/cmde.2022.52638.2212
Haghighi, Amir. A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients. سامانه مدیریت نشریات علمی, 1402; 11(3): 522-534. doi: 10.22034/cmde.2022.52638.2212

A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients

Computational Methods for Differential Equations
مقاله 6، دوره 11، شماره 3، شهریور 2023، صفحه 522-534    اصل مقاله (396.05 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2022.52638.2212
نویسنده
Amir Haghighi*
Department of Mathematics, Faculty of Science, Razi University, Kermanshah 67149, Iran.
چکیده
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.
کلیدواژه‌ها
Local Lipschitz condition؛ Khasiminskii condition؛ Truncated method؛ Split-step method؛ Strong convergence
مراجع
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