@Article{JCM-42-1226,
author = {Zhao , JingjunZhou , Hao and Xu , Yang},
title = {Modified Split-Step Theta Method for Stochastic Differential Equations Driven by Fractional Brownian Motion},
journal = {Journal of Computational Mathematics},
year = {2024},
volume = {42},
number = {5},
pages = {1226--1245},
abstract = {<p style="text-align: justify;">For solving the stochastic differential equations driven by fractional Brownian motion,
we present the modified split-step theta method by combining truncated Euler-Maruyama
method with split-step theta method. For the problem under a locally Lipschitz condition
and a linear growth condition, we analyze the strong convergence and the exponential
stability of the proposed method. Moreover, for the stochastic delay differential equations
with locally Lipschitz drift condition and globally Lipschitz diffusion condition, we give the
order of convergence. Finally, numerical experiments are done to confirm the theoretical
conclusions.</p>},
issn = {1991-7139},
doi = {https://doi.org/10.4208/jcm.2301-m2022-0088},
url = {http://global-sci.org/intro/article_detail/jcm/23276.html}
}