Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations (Q1689436): Difference between revisions

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scientific article

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English	Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations	scientific article

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scholarly article

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title

Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations (English)

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Journal of Computational and Applied Mathematics

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publication date

12 January 2018

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full work available at URL

https://arxiv.org/abs/1706.03098

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zbMATH Keywords

adaptive timestepping

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Euler-Maruyama method

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locally Lipschitz coefficients

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MaRDI profile type

MaRDI publication profile

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cites work

Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations

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Preserving positivity in solutions of discretised stochastic 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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A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

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Semi-discrete approximations for stochastic differential equations and applications

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On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method

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First order strong approximations of scalar SDEs defined in a domain

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Q4338975

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Stochastic differential equations. An introduction with applications.

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Stabilization and Destabilization of Nonlinear Differential Equations by Noise

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Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise

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Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation

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Q4223074

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On stochastic stabilization of difference equations

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Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise

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On local stability for a nonlinear difference equation with a non-hyperbolic equilibrium and fading stochastic perturbations

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Identifiers

zbMATH Open document ID

1385.37070

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DOI

10.1016/j.cam.2017.11.027

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1689436

@@ Property / OpenAlex ID @@
+W2626308877
@@ Property / OpenAlex ID: W2626308877 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03098
@@ Property / arXiv ID: 1706.03098 / rank @@
+Normal rank
@@ Property / cites work @@
+Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Preserving positivity in solutions of discretised stochastic differential 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 an explicit numerical method for SDEs with nonglobally Lipschitz continuous 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 @@
+Semi-discrete approximations for stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method
+Normal rank
@@ Property / cites work @@
+First order strong approximations of scalar SDEs defined in a domain
+Normal rank
@@ Property / cites work @@
+Q4338975
@@ Property / cites work: Q4338975 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Stabilization and Destabilization of Nonlinear Differential Equations by Noise
+Normal rank
@@ Property / cites work @@
+Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
+Normal rank
@@ Property / cites work @@
+Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation
+Normal rank
@@ Property / cites work @@
+Q4223074
@@ Property / cites work: Q4223074 / rank @@
+Normal rank
@@ Property / cites work @@
+On stochastic stabilization of difference equations
+Normal rank
@@ Property / cites work @@
+Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise
+Normal rank
@@ Property / cites work @@
+On local stability for a nonlinear difference equation with a non-hyperbolic equilibrium and fading stochastic perturbations
+Normal rank