In this paper, we propose an explicit diffuse the split-step truncated Euler-Maruyama (DSSTEM) method for stochastic differential equations with non-global Lipschitz coefficients. We investigate the strong convergence of the new method under local Lipschitz and Khasiminskii-type conditions. We show that the newly proposed method achieves a strong convergence rate arbitrarily close to half under some additional conditions. Finally, we illustrate the efficiency and performance of the proposed method with numerical results.
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Haghighi, A. (2023). A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients. Computational Methods for Differential Equations, 11(3), 522-534. doi: 10.22034/cmde.2022.52638.2212
MLA
Amir Haghighi. "A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients". Computational Methods for Differential Equations, 11, 3, 2023, 522-534. doi: 10.22034/cmde.2022.52638.2212
HARVARD
Haghighi, A. (2023). 'A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients', Computational Methods for Differential Equations, 11(3), pp. 522-534. doi: 10.22034/cmde.2022.52638.2212
VANCOUVER
Haghighi, A. A modi fied split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients. Computational Methods for Differential Equations, 2023; 11(3): 522-534. doi: 10.22034/cmde.2022.52638.2212
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