The truncated EM scheme for multiple-delay SDEs with irregular coefficients and utility to stochastic volatility mannequin
Authors: Zhuoqi Liu, Zhaohang Wang, Siying Sun, Shuaibin Gao
Summary: This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially Hölder steady drifts and regionally Hölder steady diffusion coefficients. To deal with with the superlinear phrases in coefficients, the truncated Euler-Maruyama scheme is employed. Below the given situations, the convergence charges at time T in each L1 and L2 senses are proven by advantage of the Yamada-Watanabe approximation approach. Furthermore, the convergence charges over a finite time interval [0,T] are additionally obtained. Moreover, it must be famous that the convergence charges won’t be affected by the variety of delay variables. Lastly, we carry out the numerical experiments on the stochastic volatility mannequin to confirm the reliability of the theoretical outcomes.
