Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients (Q6165526): Difference between revisions

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scientific article; zbMATH DE number 7707438

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English	Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients	scientific article; zbMATH DE number 7707438

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instance of

scholarly article

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title

Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients (English)

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zbMATH Open document ID

1515.60254

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DOI

10.4208/eajam.161121.090722

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East Asian Journal on Applied Mathematics

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publication date

5 July 2023

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Mathematics Subject Classification ID

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stochastic differential equation

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non-globally Lipschitz coefficient

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split-step theta method

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strong convergence rate

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.4208/eajam.161121.090722

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OpenAlex ID

W4313517722

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cites work

Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

0 references

Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

0 references

Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

0 references

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

0 references

Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

0 references

Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients

0 references

The truncated Milstein method for stochastic differential equations with commutative noise

0 references

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

0 references

Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

0 references

Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

0 references

Q4866235

0 references

Exponential mean square stability of numerical methods for systems of stochastic differential equations

0 references

On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients

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

Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

0 references

Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms

0 references

Adaptive time-stepping strategies for nonlinear stochastic systems

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

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

0 references

Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients

0 references

The truncated Euler-Maruyama method for stochastic differential equations

0 references

Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

0 references

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

0 references

Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

0 references

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

0 references

A note on tamed Euler approximations

0 references

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

0 references

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

0 references

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

0 references

Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

0 references

Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

0 references

Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

0 references

Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6165526

@@ Property / cites work @@
+Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
+Normal rank
@@ Property / cites work @@
+Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
+Normal rank
@@ Property / cites work @@
+Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
+Normal rank
@@ Property / cites work @@
+An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
+Normal rank
@@ Property / cites work @@
+Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
+Normal rank
@@ Property / cites work @@
+Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
+Normal rank
@@ Property / cites work @@
+The truncated Milstein method for stochastic differential equations with commutative noise
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
+Normal rank
@@ Property / cites work @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of 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 @@
+On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone 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 @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
+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 @@
+Adaptive time-stepping strategies for nonlinear stochastic systems
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
+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 @@
+Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz 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 @@
+Euler approximations with varying coefficients: the case of superlinearly growing diffusion 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 @@
+The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
+Normal rank
@@ Property / cites work @@
+Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
+Normal rank