Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4628334 | Applied Mathematics and Computation | 2014 | 11 Pages |
Abstract
Recently, explicit tamed schemes were proposed to approximate the SDEs with the non-Lipschitz continuous coefficients. This work proposes a semi-tamed Euler scheme, which is also explicit, to solve the SDEs with the drift coefficient equipped with the Lipschitz continuous part and non-Lipschitz continuous part. It is shown that the semi-tamed Euler converges strongly with the standard order one-half to the exact solution of the SDE. We also investigate the stability inheritance of the semi-tamed Euler schemes and reveal that this scheme does have advantage in reproducing the exponential mean square stability of the exact solution. Numerical experiments confirm the theoretical analysis.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Xiaofeng Zong, Fuke Wu, Chengming Huang,