most citedStrong convergence rates of modified truncated EM method for stochastic differential equations

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math.PR2017★ 1 cited

Strong convergence rates of modified truncated EM method for stochastic differential equations

Guangqiang Lan, Fang Xia

Motivated by truncated EM method introduced by Mao (2015), a new explicit numerical method named modified truncated Euler-Maruyama method is developed in this paper. Strong converg…