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

The main goal of this work is to develop and analyze an accurate trun-cated stochastic Runge–Kutta (TSRK۲) 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 L۱-convergence theory to the TSRK۲ 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 [۰, 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