Modified Runge–Kutta method with convergence analysis for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient

Abstract

The main goal of this work is to develop and analyze an accurate trun-cated stochastic Runge–Kutta (TSRK2) method to obtain strong numeri-cal solutions of nonlinear one-dimensional stochastic differential equations (SDEs) with continuous Hölder diffusion coefficients. We will establish the strong L1-convergence theory to the TSRK2 method under the local Lipschitz condition plus the one-sided Lipschitz condition for the drift co-efficient and the continuous Hölder condition for the diffusion coefficient at a time T and over a finite time interval [0, T ], respectively. We show that the new method can achieve the optimal convergence order at a finite time T compared to the classical Euler–Maruyama method. Finally, nu-merical examples are given to support the theoretical results and illustrate the validity of the method.

Keywords

• stochastic differential equation
• strong convergence
• truncated methods
• hölder continuous coefficient