Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients (Q2246428): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2021.126437
+Normal rank
@@ Property / OpenAlex ID @@
+W3201362699
@@ Property / OpenAlex ID: W3201362699 / rank @@
+Normal rank
@@ Property / cites work @@
+Split-step double balanced approximation methods for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
+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 @@
+The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions
+Normal rank
@@ Property / cites work @@
+Q3883249
@@ Property / cites work: Q3883249 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4866235
@@ Property / cites work: Q4866235 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential mean square stability of numerical methods for systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+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 @@
+Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong convergence rates of modified truncated EM method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition
+Normal rank
@@ Property / cites work @@
+Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Balanced Implicit Methods for Stiff Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of stochastic differential equations with jumps in finance
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Mean-square stability of numerical schemes for stochastic differential systems
+Normal rank
@@ Property / cites work @@
+Strong convergence of the tamed and the semi-tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition
+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 @@
+Split-step backward balanced Milstein methods for stiff stochastic systems
+Normal rank
@@ Property / cites work @@
+Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
+Normal rank
@@ Property / cites work @@
+Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
+Normal rank
@@ Property / cites work @@
+A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
+Normal rank