Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift (Q2192733): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1609.08101 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3812150 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of Global Weak Solutions to Some Regularized Kinetic Models for Dilute Polymers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo method for ergodic SDEs without contractivity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Path Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact estimation for Markov chain equilibrium expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Geometric ergodicity of discrete-time approximations to multivariate diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The optimal discretization of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive time-stepping strategies for nonlinear stochastic systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive timestepping algorithm for stochastic differential equations. / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive Euler-Maruyama scheme for SDEs: convergence and stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive scheme for the approximation of dissipative systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4369402 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The truncated Euler-Maruyama method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Step size control in the numerical solution of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing ergodic limits for Langevin equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal pointwise approximation of SDEs based on Brownian motion at discrete points / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Scaling of Discrete Approximations to Langevin Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential convergence of Langevin distributions and their discrete approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4308904 / rank
 
Normal rank
Property / cites work
 
Property / cites work: $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second-order discretization schemes of stochastic differential systems for the computation of the invariant law / rank
 
Normal rank
Property / cites work
 
Property / cites work: The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank

Latest revision as of 08:29, 23 July 2024

scientific article
Language Label Description Also known as
English
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
scientific article

    Statements

    Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift (English)
    0 references
    0 references
    0 references
    0 references
    17 August 2020
    0 references
    0 references
    0 references
    0 references
    0 references
    SDE
    0 references
    Euler-Maruyama
    0 references
    strong convergence
    0 references
    adaptive time-step
    0 references
    ergodicity
    0 references
    invariant measure
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references