{"title":"Convergence Rates for the Truncated Euler-Maruyama Method for Nonlinear Stochastic Differential Equations","authors":"Xuejing MENG, Linfeng LYU","doi":"10.1051/wujns/2023285399","DOIUrl":null,"url":null,"abstract":"In this paper, our main aim is to investigate the strong convergence rate of the truncated Euler-Maruyama approximations for stochastic differential equations with superlinearly growing drift coefficients. When the diffusion coefficient is polynomially growing or linearly growing, the strong convergence rate of arbitrarily close to one half is established at a single time T or over a time interval [0, T ], respectively. In both situations, the common one-sided Lipschitz and polynomial growth conditions for the drift coefficients are not required. Two examples are provided to illustrate the theory.","PeriodicalId":23976,"journal":{"name":"Wuhan University Journal of Natural Sciences","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wuhan University Journal of Natural Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1051/wujns/2023285399","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Multidisciplinary","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, our main aim is to investigate the strong convergence rate of the truncated Euler-Maruyama approximations for stochastic differential equations with superlinearly growing drift coefficients. When the diffusion coefficient is polynomially growing or linearly growing, the strong convergence rate of arbitrarily close to one half is established at a single time T or over a time interval [0, T ], respectively. In both situations, the common one-sided Lipschitz and polynomial growth conditions for the drift coefficients are not required. Two examples are provided to illustrate the theory.
期刊介绍:
Wuhan University Journal of Natural Sciences aims to promote rapid communication and exchange between the World and Wuhan University, as well as other Chinese universities and academic institutions. It mainly reflects the latest advances being made in many disciplines of scientific research in Chinese universities and academic institutions. The journal also publishes papers presented at conferences in China and abroad. The multi-disciplinary nature of Wuhan University Journal of Natural Sciences is apparent in the wide range of articles from leading Chinese scholars. This journal also aims to introduce Chinese academic achievements to the world community, by demonstrating the significance of Chinese scientific investigations.