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Volume 43, Issue 5
Truncated Euler-Maruyama Method for Time-Changed Stochastic Differential Equations with Super-Linear State Variables and Hölder’s Continuous Time Variables

Xiaotong Li, Wei Liu & Tianjiao Tang

DOI: 10.4208/jcm.2411-m2022-0061

J. Comp. Math., 43 (2025), pp. 1194-1218.

Published online: 2025-09

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  • Abstract

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.

  • Keywords

Explicit numerical method, Highly non-linear coefficients, Time-changed processes, Stochastic differential equations, Strong convergence.

  • AMS Subject Headings

65C30, 60H10

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{JCM-43-1194, author = {Li , XiaotongLiu , Wei and Tang , Tianjiao}, title = {Truncated Euler-Maruyama Method for Time-Changed Stochastic Differential Equations with Super-Linear State Variables and Hölder’s Continuous Time Variables}, journal = {Journal of Computational Mathematics}, year = {2025}, volume = {43}, number = {5}, pages = {1194--1218}, abstract = {

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.

}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.2411-m2022-0061}, url = {http://global-sci.org/intro/article_detail/jcm/24477.html} }
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 -

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.

Li , XiaotongLiu , Wei and Tang , Tianjiao. (2025). Truncated Euler-Maruyama Method for Time-Changed Stochastic Differential Equations with Super-Linear State Variables and Hölder’s Continuous Time Variables. Journal of Computational Mathematics. 43 (5). 1194-1218. doi:10.4208/jcm.2411-m2022-0061
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