Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient

Abstract

In this paper, we propose a truncated Euler–Maruyama scheme for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient. Meanwhile, the convergence rate of the numerical method is established. Numerical example is demonstrated to verify the theoretical results.

Keywords:

• Truncated Euler–Maruyama
• stochastic differential equation
• fractional Brownian motion
• convergence rate

Mathematics Subject Classification:

• 65C30

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work was supported by the National Natural Science Foundation of China [grant number 12271368].