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Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations (1812.00683v3)
Published 3 Dec 2018 in math.NA and cs.NA
Abstract: The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the H\"older 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.
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