Strong convergence of multiscale truncated Euler-Maruyama method for super-linear slow-fast stochastic differential equations
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
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2023
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| _version_ | 1866916652908544000 |
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| author | Cui, Yuanping Li, Xiaoyue Mao, Xuerong |
| author_facet | Cui, Yuanping Li, Xiaoyue Mao, Xuerong |
| contents | This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we propose an explicit multiscale Euler-Maruyama scheme suitable for SFSDEs with locally Lipschitz coefficients using an appropriate truncation technique. By the averaging principle, we establish the strong convergence of the numerical solutions to the exact solutions in the pth moment. Additionally, under lenient conditions on the coefficients, we also furnish a strong error estimate. In conclusion, we give two illustrative examples and accompanying numerical simulations to affirm the theoretical outcomes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2308_02110 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Strong convergence of multiscale truncated Euler-Maruyama method for super-linear slow-fast stochastic differential equations Cui, Yuanping Li, Xiaoyue Mao, Xuerong Numerical Analysis This manuscript is dedicated to the numerical approximation of super-linear slow-fast stochastic differential equations (SFSDEs). Borrowing the heterogeneous multiscale idea, we propose an explicit multiscale Euler-Maruyama scheme suitable for SFSDEs with locally Lipschitz coefficients using an appropriate truncation technique. By the averaging principle, we establish the strong convergence of the numerical solutions to the exact solutions in the pth moment. Additionally, under lenient conditions on the coefficients, we also furnish a strong error estimate. In conclusion, we give two illustrative examples and accompanying numerical simulations to affirm the theoretical outcomes. |
| title | Strong convergence of multiscale truncated Euler-Maruyama method for super-linear slow-fast stochastic differential equations |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2308.02110 |