Article ID Journal Published Year Pages File Type
8902125 Journal of Computational and Applied Mathematics 2018 25 Pages PDF
Abstract
Motivated by truncated Euler-Maruyama (EM) method introduced by Mao (2015), a new explicit numerical method named modified truncated Euler-Maruyama method is developed in this paper. Strong convergence rates of the given numerical scheme to the exact solutions to stochastic differential equations are investigated under given conditions in this paper. Compared with truncated EM method, the given numerical simulation strongly converges to the exact solution at fixed time T and over a time interval [0,T] under weaker sufficient conditions. Meanwhile, the convergence rates are also obtained for both cases. Two examples are provided to support our conclusions.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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