Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (Q2154871): Difference between revisions

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+Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
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+Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
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+Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
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+An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
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+Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
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+Exponential mean square stability of numerical methods for systems of stochastic differential equations
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+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
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+On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
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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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+Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
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+Adaptive time-stepping strategies for nonlinear stochastic systems
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+Higher-order implicit strong numerical schemes for stochastic differential equations
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+On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
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+The truncated Euler-Maruyama method for stochastic differential equations
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+Convergence rates of the truncated Euler-Maruyama method for 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 rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
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+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
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+Probabilistic Methods for the Incompressible Navier–Stokes Equations With Space Periodic Conditions
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+A note on tamed Euler approximations
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+Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
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+A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
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+The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
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+Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
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+High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients
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+Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
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+Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
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+Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
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