Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and Hölder's continuous time variables

2021/10/06 by Xiaotong Li, Wei Liu, Li, Xiaotong +3 · 1 citation
Economics, Econometrics and Finance · #60H10 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2110.02819

openalex publication_date 2021/10/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

An explicit numerical method is developed for a class of non-autonomous time-changed stochastic differential equations, whose coefficients obey Hölder's continuity in terms of the time variables and are allowed to grow super-linearly in terms of the state variables. The strong convergence of the method in the finite time interval is proved and the convergence rate is obtained. Numerical simulations are provided.

Cited by

• Strong and weak convergence orders of numerical methods for SDEs driven by time-changed Lévy noise

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