A modified split-step truncated Euler-Maruyama method for SDEs with non-globally Lips- chitz continuous coefficients

In this paper, we propose an explicit diffuse the split-step truncated Euler-Maruyama (DSSTEM) method for stochastic differential equations with non-global Lipschitz coefficients. We investigate the strong convergence of the new method under local Lipschitz and Khasiminskii-type conditions. We show that the newly proposed method achieves a strong convergence rate arbitrarily close to half under some additional conditions. Finally, we illustrate the efficiency and performance of the proposed method with numerical results.