Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (Q3104819): Difference between revisions

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

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scholarly article

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title

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

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Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

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publication date

17 December 2011

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full work available at URL

https://arxiv.org/abs/0905.0273

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zbMATH Keywords

Euler scheme

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weak divergence

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strong divergence

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non-globally Lipschitz continuous

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weak approximation

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strong approximation

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MaRDI profile type

MaRDI publication profile

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cites work

Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

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A note on Euler's approximations

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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

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

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Ergodic behavior of locally regulated branching populations

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Pathwise Taylor schemes for random ordinary differential equations

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Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

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An adaptive Euler-Maruyama scheme for SDEs: convergence and stability

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The branching process with logistic growth

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An adaptive scheme for the approximation of dissipative systems

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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Exponential convergence of Langevin distributions and their discrete approximations

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The Euler scheme with irregular coefficients

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A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations

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Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

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Identifiers

zbMATH Open document ID

1228.65014

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DOI

10.1098/rspa.2010.0348

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3104819

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@@ Property / OpenAlex ID: W2951662467 / rank @@
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@@ Property / arXiv ID @@
+.0273
@@ Property / arXiv ID: 0905.0273 / rank @@
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+A note on Euler's approximations
@@ Property / cites work: A note on Euler's approximations / rank @@
+Normal rank
@@ Property / cites work @@
+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Ergodic behavior of locally regulated branching populations
+Normal rank
@@ Property / cites work @@
+Pathwise Taylor schemes for random ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
+Normal rank
@@ Property / cites work @@
+The branching process with logistic growth
@@ Property / cites work: The branching process with logistic growth / rank @@
+Normal rank
@@ Property / cites work @@
+An adaptive scheme for the approximation of dissipative systems
+Normal rank
@@ Property / cites work @@
+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
+Normal rank
@@ Property / cites work @@
+Exponential convergence of Langevin distributions and their discrete approximations
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ Property / cites work @@
+A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
+Normal rank