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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zbMATH Open document ID

1404.65073

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DOI

10.3934/dcdsb.2018203

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Discrete and Continuous Dynamical Systems. Series B

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publication date

11 January 2019

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Mathematics Subject Classification ID

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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

MaRDI publication profile

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full work available at URL

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

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OpenAlex ID

W2809233765

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cites work

Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

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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

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

0 references

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

0 references

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

0 references

Q4866235

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

0 references

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

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

Q4004325

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

0 references

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

0 references

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

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

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

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

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

0 references

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

0 references

Stability Analysis of Numerical Schemes for Stochastic Differential Equations

0 references

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

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

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

0 references

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

0 references

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

0 references

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

0 references

Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

0 references

Wikidata QID

Q129415908

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1755935

@@ Property / full work available at URL @@
+https://doi.org/10.3934/dcdsb.2018203
+Normal rank
@@ Property / OpenAlex ID @@
+W2809233765
@@ Property / OpenAlex ID: W2809233765 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
+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 @@
+On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations
+Normal rank
@@ Property / cites work @@
+The partially truncated Euler-Maruyama method and its stability and boundedness
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear 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 @@
+Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay 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 @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition
+Normal rank
@@ Property / cites work @@
+Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
+Normal rank
@@ Property / cites work @@
+Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control
+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 @@
+Stabilization of hybrid stochastic differential equations by feedback control based on discrete-time state observations
+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 @@
+The Euler-Maruyama approximation of solutions to stochastic differential equations with piecewise constant arguments
+Normal rank
@@ Property / cites work @@
+Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions
+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 @@
+The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
+Normal rank
@@ Property / cites work @@
+Stabilization of Hybrid Systems by Feedback Control Based on Discrete-Time State Observations
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments
+Normal rank
@@ Property / cites work @@
+Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
+Normal rank
@@ Property / cites work @@
+Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / Wikidata QID @@
+Q129415908
@@ Property / Wikidata QID: Q129415908 / rank @@
+Normal rank