Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations

Deng, CS; Liu, W

Liu, W (corresponding author), Shanghai Normal Univ, Dept Math, Shanghai 200234, Peoples R China.

BIT NUMERICAL MATHEMATICS, 2020; 60 (4): 1133

Abstract

The semi-implicit Euler-Maruyama (EM) method is investigated to approximate a class of time-changed stochastic differential equations, whose drift coe......

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