Explicit numerical method for highly non-linear time-changed stochastic differential equations

10/06/2021
by   Xiaotong Li, et al.
0

An explicit numerical method is developed for a class of time-changed stochastic differential equations, whose the coefficients obey Hölder's continuity in terms of the time variable and are allowed to grow super-linearly in terms of the state variable. The strong convergence of the method in a finite time interval is proved and the convergence rate is obtained. Numerical simulations are provided, which are in line with those theoretical results.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset