Abstract
Motivated by truncated Euler–Maruyama (EM) method introduced by Mao (2015), a new explicit numerical method named modified truncated Euler–Maruyama method is developed in this paper. Strong convergence rates of the given numerical scheme to the exact solutions to stochastic differential equations are investigated under given conditions in this paper. Compared with truncated EM method, the given numerical simulation strongly converges to the exact solution at fixed time T and over a time interval [0,T] under weaker sufficient conditions. Meanwhile, the convergence rates are also obtained for both cases. Two examples are provided to support our conclusions.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call