Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments (Q1755935): Difference between revisions

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English	Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments	scientific article

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scholarly article

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title

Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments (English)

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Discrete and Continuous Dynamical Systems. Series B

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publication date

11 January 2019

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zbMATH Keywords

stochastic differential equations with piecewise continuous arguments

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the split-step theta (SST) method

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the improved split-step theta (ISST) method

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convergence rate

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exponential mean square stability

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.3934/dcdsb.2018203

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cites work

Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

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On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

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The partially truncated Euler-Maruyama method and its stability and boundedness

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

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Q4866235

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

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Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations

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

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

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Q4004325

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Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition

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Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations

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Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

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Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control

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

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Stabilization of hybrid stochastic differential equations by feedback control based on discrete-time state observations

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The truncated Euler-Maruyama method for stochastic differential equations

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

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The Euler-Maruyama approximation of solutions to stochastic differential equations with piecewise constant arguments

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Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions

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

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

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The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions

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Stabilization of Hybrid Systems by Feedback Control Based on Discrete-Time State Observations

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Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments

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Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation

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Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

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Identifiers

zbMATH Open document ID

1404.65073

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Mathematics Subject Classification ID

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10.3934/DCDSB.2018203

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Mathematics(1 entry)

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