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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 and Tianjiao Tang

J. Comp. Math. DOI: 10.4208/jcm.2411-m2022-0061

Publication Date : 2025-01-13

  • 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.

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