Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5776704 | Applied Numerical Mathematics | 2017 | 17 Pages |
Abstract
The partially truncated Euler-Maruyama (EM) method is proposed in this paper for highly nonlinear stochastic differential equations (SDEs). We will not only establish the finite-time strong Lr-convergence theory for the partially truncated EM method, but also demonstrate the real benefit of the method by showing that the method can preserve the asymptotic stability and boundedness of the underlying SDEs.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics
Authors
Qian Guo, Wei Liu, Xuerong Mao, Rongxian Yue,