Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Levy-driven SDEs with irregular coefficients

被引：3

作者：

Trung-Thuy Kieu ^{[1
]}

Duc-Trong Luong ^{[1
]}

Hoang-Long Ngo ^{[1
]}

Ngoc Khue Tran ^{[2
]}

机构：

[1] Hanoi Natl Univ Educ, Hanoi, Vietnam

[2] Hanoi Univ Sci & Technol, Sch Appl Math & Informat, 1 Dai Co Viet, Hanoi, Vietnam

来源：

COMPUTATIONAL & APPLIED MATHEMATICS | 2022年 / 41卷 / 07期

关键词：

Euler-Maruyama approximation; Holder continuous diffusion; Strong approximation; Polynomial growth coefficient; STOCHASTIC DIFFERENTIAL-EQUATIONS; JUMP-EXTENDED CIR; BACKWARD EULER; DIFFUSION; APPROXIMATIONS; STABILITY; RATES;

D O I：

10.1007/s40314-022-02015-w

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A tamed-adaptive Euler-Maruyama approximation scheme is proposed for Levy-driven stochastic differential equations with locally Lipschitz continuous, polynomial growth drift, and locally Holder continuous, polynomial growth diffusion coefficients. The new scheme converges in both finite and infinite time intervals under some suitable conditions on the regularity and the growth of the coefficients.

引用

页数：31

共 14 条

[1] Strong convergence in infinite time interval of tamed-adaptive Euler–Maruyama scheme for Lévy-driven SDEs with irregular coefficients
Trung-Thuy Kieu
Duc-Trong Luong
Hoang-Long Ngo
Ngoc Khue Tran
Computational and Applied Mathematics, 2022, 41
[2] Strong convergence of the Euler-Maruyama approximation for a class of Levy-driven SDEs
Kuehn, Franziska
Schilling, Rene L.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2019, 129 (08) : 2654 - 2680
[3] An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
Lamba, H.
Mattingly, J. C.
Stuart, A. M.
IMA JOURNAL OF NUMERICAL ANALYSIS, 2007, 27 (03) : 479 - 506
[4] Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Holder continuous diffusion coefficients
Trung-Thuy Kieu
Duc-Trong Luong
Hoang-Long Ngo
STOCHASTIC ANALYSIS AND APPLICATIONS, 2022, 40 (04) : 714 - 734
[5] On the Euler-Maruyama scheme for spectrally one-sided Levy driven SDEs with Holder continuous coefficients
Li, Libo
Taguchi, Dai
STATISTICS & PROBABILITY LETTERS, 2019, 146 : 15 - 26
[6] The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
Neuenkirch, Andreas
Szolgyenyi, Michaela
IMA JOURNAL OF NUMERICAL ANALYSIS, 2021, 41 (02) : 1164 - 1196
[7] On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local timer
Taguchi, Dai
JOURNAL OF COMPLEXITY, 2023, 74
[8] CONVERGENCE RATE OF THE EULER-MARUYAMA SCHEME TO DENSITY DEPENDENT SDES DRIVEN BY α-STABLE ADDITIVE NOISE
Song, Ke
Hao, Zimo
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY, 2025,
[9] STRONG RATE OF CONVERGENCE FOR THE EULER-MARUYAMA APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH IRREGULAR COEFFICIENTS
Hoang-Long Ngo
Taguchi, Dai
MATHEMATICS OF COMPUTATION, 2016, 85 (300) : 1793 - 1819
[10] Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
Do, Minh-Thang
Ngo, Hoang-Long
Pho, Nhat-An
JOURNAL OF COMPLEXITY, 2024, 82

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