Convergence of the Tamed Euler Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Non-global Lipschitz Continuous Coefficients |
| |
Authors: | M. H. Song Y. L. Lu M. Z. Liu |
| |
Affiliation: | Department of Mathematics, Harbin Institute of Technology, Harbin, China |
| |
Abstract: | In this paper, we deal with the strong convergence of numerical methods for stochastic differential equations with piecewise continuous arguments (SEPCAs) with at most polynomially growing drift coefficients and global Lipschitz continuous diffusion coefficients. An explicit and time-saving tamed Euler method is used to solve this type of SEPCAs. We show that the tamed Euler method is bounded in pth moment. And then the convergence of the tamed Euler method is proved. Moreover, the convergence order is one-half. Several numerical simulations are shown to verify the convergence of this method. |
| |
Keywords: | Bounded in pth moment convergence order convergence stochastic differential equations with piecewise continuous arguments the tamed Euler method |
|