Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion

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 L1-norm of the scheme in both finite and infinite time intervals.