- Date: 10 Sep. (Thu.)
- Place: On the Web
- Time: 16:30-18:00
- Speaker: Ngo Hoang Long (Hanoi National University of Education)
- Title: Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally H\”older continuous diffusion coefficients
- Abstract:
We propose a tamed-adaptive Euler-Maruyama approximation scheme for stochastic differential equations with locally Lipschitz continuous, polynomial growth drift, and locally H\”older continuous, polynomial growth diffusion coefficients. We consider the strong convergence and stability of the new scheme. In particular, we show that under some sufficient conditions for the stability of the exact solution, the tamed-adaptive scheme converges strongly in any infinite time interval.
This is joint work with LUONG Duc Trong and KIEU Trung Thuy.
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