Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients (Q5889043): Difference between revisions

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scientific article; zbMATH DE number 7679215

Language	Label	Description	Also known as
English	Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients	scientific article; zbMATH DE number 7679215

Statements

instance of

scholarly article

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title

Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients (English)

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Advances in Applied Mathematics and Mechanics

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publication date

26 April 2023

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zbMATH Keywords

time-changed stochastic differential equations

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explicit method

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super-linear coefficients

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strong convergence

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asymptotic stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.4208/aamm.oa-2021-0335

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cites work

Lévy Processes and Stochastic Calculus

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Applications of inverse tempered stable subordinators

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Time fractional equations and probabilistic representation

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On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions

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Two-step Runge-Kutta methods for stochastic differential equations

0 references

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

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Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations

0 references

Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay

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

0 references

Stochastic ordinary differential equations in applied and computational mathematics

0 references

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

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Q4866235

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Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients

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Q4778955

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A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion

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Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients

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Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators

0 references

Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations

0 references

Mean-Square Exponential Stability for Stochastic Control Systems With Discrete-Time State Feedbacks and Their Numerical Schemes in Simulation

0 references

Polynomial stability of highly non-linear time-changed stochastic differential equations

0 references

Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

0 references

Limit theorems for continuous-time random walks with infinite mean waiting times

0 references

The truncated Euler-Maruyama method for stochastic differential equations

0 references

Stochastic representation of subdiffusion processes with time-dependent drift

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

Stability of the solution of stochastic differential equation driven by time-changed Lévy noise

0 references

Q4638253

0 references

Q4937701

0 references

Q4301585

0 references

Bernstein functions. Theory and applications

0 references

Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes

0 references

Beyond the Triangle

0 references

Stability analysis for a class of nonlinear time-changed systems

0 references

The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations

0 references

Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching

0 references

Convergence rate of the truncated Milstein method of stochastic differential delay equations

0 references

Almost sure exponential stability for time-changed stochastic differential equations

0 references

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

0 references

Identifiers

DOI

10.4208/aamm.OA-2021-0335

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5889043

@@ Property / full work available at URL @@
+https://doi.org/10.4208/aamm.oa-2021-0335
+Normal rank
@@ Property / OpenAlex ID @@
+W4321610077
@@ Property / OpenAlex ID: W4321610077 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of inverse tempered stable subordinators
+Normal rank
@@ Property / cites work @@
+Time fractional equations and probabilistic representation
+Normal rank
@@ Property / cites work @@
+On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
+Normal rank
@@ Property / cites work @@
+Two-step Runge-Kutta methods for stochastic differential equations
+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 @@
+Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
+Normal rank
@@ Property / cites work @@
+The partially truncated Euler-Maruyama method and its stability and boundedness
+Normal rank
@@ Property / cites work @@
+Stochastic ordinary differential equations in applied and computational mathematics
+Normal rank
@@ Property / cites work @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of 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 @@
+Q4866235
@@ Property / cites work: Q4866235 / rank @@
+Normal rank
@@ Property / cites work @@
+Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion
+Normal rank
@@ Property / cites work @@
+Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
+Normal rank
@@ Property / cites work @@
+Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-Square Exponential Stability for Stochastic Control Systems With Discrete-Time State Feedbacks and Their Numerical Schemes in Simulation
+Normal rank
@@ Property / cites work @@
+Polynomial stability of highly non-linear time-changed stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Limit theorems for continuous-time random walks with infinite mean waiting times
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic representation of subdiffusion processes with time-dependent drift
+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 @@
+Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
+Normal rank
@@ Property / cites work @@
+Q4638253
@@ Property / cites work: Q4638253 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Bernstein functions. Theory and applications
@@ Property / cites work: Bernstein functions. Theory and applications / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes
+Normal rank
@@ Property / cites work @@
+Beyond the Triangle
@@ Property / cites work: Beyond the Triangle / rank @@
+Normal rank
@@ Property / cites work @@
+Stability analysis for a class of nonlinear time-changed systems
+Normal rank
@@ Property / cites work @@
+The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations
+Normal rank
@@ Property / cites work @@
+Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching
+Normal rank
@@ Property / cites work @@
+Convergence rate of the truncated Milstein method of stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Almost sure exponential stability for time-changed stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
+Normal rank