대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제61권4호
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  • Pages.917-932
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  • 2024
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  • 1015-8634(pISSN)
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  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
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CONVERGENCE OF THE EULER-MARUYAMA METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G-BROWNIAN MOTION

  • Cunxia Liu (School of Mathematics and Information Sciences Yantai University) ;
  • Wen Lu (School of Mathematics and Information Sciences Yantai University)
  • 투고 : 2023.06.15
  • 심사 : 2023.10.19
  • 발행 : 2024.07.31
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초록

In this paper, we deal with the Euler-Maruyama (EM) scheme for stochastic differential equations driven by G-Brownian motion (G-SDEs). Under the linear growth and the local Lipschitz conditions, the strong convergence as well as the rate of convergence of the EM numerical solution to the exact solution for G-SDEs are established.

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과제정보

The authors are deeply grateful to the anonymous referees and the editor for their careful reading, valuable comments and correction of some errors, which helped to improve the paper a lot.

참고문헌

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