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Tamed Euler–Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients

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  • Ngo, Hoang Long
  • Luong, Duc Trong

Abstract

We study the strong convergence of the tamed Euler–Maruyama approximation for stochastic differential equations whose coefficients superlinearly grow and diffusion coefficient is locally Hölder continuous.

Suggested Citation

  • Ngo, Hoang Long & Luong, Duc Trong, 2019. "Tamed Euler–Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 133-140.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:133-140
    DOI: 10.1016/j.spl.2018.09.006
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    References listed on IDEAS

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    1. Ngo, Hoang-Long & Taguchi, Dai, 2017. "Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 55-63.
    2. Alfonsi, Aurélien, 2013. "Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 602-607.
    3. Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov, 2014. "An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients," Papers 1405.3561, arXiv.org, revised Apr 2016.
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    Cited by:

    1. Gao, Xiangyu & Liu, Yi & Wang, Yanxia & Yang, Hongfu & Yang, Maosong, 2021. "Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).

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