TY - JOUR
T1 - Truncated Euler-Maruyama Method for Time-Changed Stochastic Differential Equations with Super-Linear State Variables and Hölder’s Continuous Time Variables
AU - Li , Xiaotong
AU - Liu , Wei
AU - Tang , Tianjiao
JO - Journal of Computational Mathematics
VL - 5
SP - 1194
EP - 1218
PY - 2025
DA - 2025/09
SN - 43
DO - http://doi.org/10.4208/jcm.2411-m2022-0061
UR - https://global-sci.org/intro/article_detail/jcm/24477.html
KW - Explicit numerical method, Highly non-linear coefficients, Time-changed processes, Stochastic differential equations, Strong convergence.
AB - <p style="text-align: justify;">An explicit numerical method is developed for a class of non-autonomous time-changed
stochastic differential equations, whose coefficients obey Hölder’s continuity in terms of the
time variables and are allowed to grow super-linearly in terms of the state variables. The
strong convergence of the method in the finite time interval is proved and the convergence
rate is obtained. Numerical simulations are provided.</p>