Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
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引用次数: 0
Abstract
In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piecewise continuous, and whose diffusion coefficient is superlinearly growing and locally Hölder continuous. We first prove the existence and uniqueness of solution to such stochastic differential equations and then propose a tamed-adaptive Euler-Maruyama approximation scheme. We study the rate of convergence in -norm of the scheme in both finite and infinite time intervals.
期刊介绍：
The multidisciplinary Journal of Complexity publishes original research papers that contain substantial mathematical results on complexity as broadly conceived. Outstanding review papers will also be published. In the area of computational complexity, the focus is on complexity over the reals, with the emphasis on lower bounds and optimal algorithms. The Journal of Complexity also publishes articles that provide major new algorithms or make important progress on upper bounds. Other models of computation, such as the Turing machine model, are also of interest. Computational complexity results in a wide variety of areas are solicited.
Areas Include:
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