Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients (Q529908): Difference between revisions

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English	Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients	scientific article

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instance of

scholarly article

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title

Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients (English)

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Applied Mathematics and Computation

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publication date

9 June 2017

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zbMATH Keywords

stochastic differential equations

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semi-tamed Euler scheme

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strong convergence

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mean square stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2013.11.100

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cites work

Q4210478

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Convergence of the stochastic Euler scheme for locally Lipschitz coefficients

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The random attractor of the stochastic Lorenz system

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Higher-order implicit strong numerical schemes for stochastic differential equations

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A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion)

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Continuous Markov processes and stochastic 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 Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Strong convergence and stability of implicit numerical methods 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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The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

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Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Mean-square stability of numerical schemes for stochastic differential systems

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

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Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations

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Q4369402

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Probability theory. A comprehensive course.

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Identifiers

zbMATH Open document ID

1364.65020

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DOI

10.1016/j.amc.2013.11.100

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:529908

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2013.11.100
+Normal rank
@@ Property / OpenAlex ID @@
+W2048332708
@@ Property / OpenAlex ID: W2048332708 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4210478
@@ Property / cites work: Q4210478 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+The random attractor of the stochastic Lorenz system
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion)
+Normal rank
@@ Property / cites work @@
+Continuous Markov processes and stochastic 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 Euler-Type Methods for Nonlinear 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 of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+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 @@
+Lattice approximation for stochastic reaction diffusion equations with one-sided Lipschitz condition
+Normal rank
@@ Property / cites work @@
+Exponential Mean-Square Stability of Numerical Solutions to 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 methods for systems of stochastic differential equations
+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 @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Probability theory. A comprehensive course.
@@ Property / cites work: Probability theory. A comprehensive course. / rank @@
+Normal rank