A split-step Euler-Maruyama based method with partial truncation coefficients for nonlinear SDEs
Amir Haghighi
Abstract:The main objective of this paper is to develop and analyze a numerical method for the strong approximation of solutions to highly nonlinear stiff It\^{o} stochastic differential equations (SDEs). In this method, we first divide the coefficients of the SDEs into linear and nonlinear parts. Then, in two fully explicit recursive phases, we apply the appropriate truncation transformation only to the nonlinear parts of the coefficients of the SDEs at each step. Theoretical aspects are introduced to establish the $L… Show more
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