An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model (Q2229921): Difference between revisions

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scientific article

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English	An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model	scientific article

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instance of

scholarly article

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title

An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model (English)

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Journal of Computational and Applied Mathematics

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publication date

17 September 2021

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full work available at URL

https://arxiv.org/abs/2005.06034

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zbMATH Keywords

McKean-Vlasov equations

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interacting particle systems

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strong solutions

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numerical schemes for SDEs

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MaRDI profile type

MaRDI publication profile

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cites work

A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Ecole d'été de probabilités de Saint-Flour XIX, France, du 16 août au 2 septembre 1989

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Strong solutions of mean-field stochastic differential equations with irregular drift

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Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and FitzHugh-Nagumo neurons

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Clarification and complement to ``Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and Fitzhugh-Nagumo neurons''

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Particle systems with a singular mean-field self-excitation. Application to neuronal networks

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A stochastic particle method for the McKean-Vlasov and the Burgers equation

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Q2807034

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From the master equation to mean field game limit theory: a central limit theorem

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Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

0 references

A note on tamed Euler approximations

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The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

0 references

The truncated Euler-Maruyama method for stochastic differential equations

0 references

Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

0 references

Probabilistic approach for granular media equations in the non-uniformly convex case

0 references

A concise course on stochastic partial differential equations

0 references

Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

0 references

On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

0 references

Q4338975

0 references

Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions

0 references

A comparison of biased simulation schemes for stochastic volatility models

0 references

Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process

0 references

Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process

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Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets

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Q4445183

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Identifiers

zbMATH Open document ID

1469.60195

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DOI

10.1016/j.cam.2021.113725

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2229921

@@ Property / OpenAlex ID @@
+W3178076923
@@ Property / OpenAlex ID: W3178076923 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.06034
@@ Property / arXiv ID: 2005.06034 / rank @@
+Normal rank
@@ Property / cites work @@
+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
+Normal rank
@@ Property / cites work @@
+Ecole d'été de probabilités de Saint-Flour XIX, France, du 16 août au 2 septembre 1989
+Normal rank
@@ Property / cites work @@
+Strong solutions of mean-field stochastic differential equations with irregular drift
+Normal rank
@@ Property / cites work @@
+Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and FitzHugh-Nagumo neurons
+Normal rank
@@ Property / cites work @@
+Clarification and complement to ``Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and Fitzhugh-Nagumo neurons''
+Normal rank
@@ Property / cites work @@
+Particle systems with a singular mean-field self-excitation. Application to neuronal networks
+Normal rank
@@ Property / cites work @@
+A stochastic particle method for the McKean-Vlasov and the Burgers equation
+Normal rank
@@ Property / cites work @@
+Q2807034
@@ Property / cites work: Q2807034 / rank @@
+Normal rank
@@ Property / cites work @@
+From the master equation to mean field game limit theory: a central limit theorem
+Normal rank
@@ Property / cites work @@
+Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+A note on tamed Euler approximations
@@ Property / cites work: A note on tamed Euler approximations / rank @@
+Normal rank
@@ Property / cites work @@
+The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
+Normal rank
@@ Property / cites work @@
+Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Probabilistic approach for granular media equations in the non-uniformly convex case
+Normal rank
@@ Property / cites work @@
+A concise course on stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
+Normal rank
@@ Property / cites work @@
+On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Q4338975
@@ Property / cites work: Q4338975 / rank @@
+Normal rank
@@ Property / cites work @@
+Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
+Normal rank
@@ Property / cites work @@
+Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process
+Normal rank
@@ Property / cites work @@
+Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
+Normal rank
@@ Property / cites work @@
+Q4445183
@@ Property / cites work: Q4445183 / rank @@
+Normal rank