Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations (Q1696428): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Higher-order implicit strong numerical schemes for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4826106 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4210478 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of the stochastic Euler scheme for locally Lipschitz coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: The random attractor of the stochastic Lorenz system / rank
 
Normal rank
Property / cites work
 
Property / cites work: A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4866235 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximations of stochastic delay equations: the Milstein scheme. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Implicit Taylor methods for stiff stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable strong order 1.0 schemes for solving stochastic ordinary differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Square and Asymptotic Stability of the Stochastic Theta Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-square stability of numerical schemes for stochastic differential systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential mean square stability of numerical methods for systems of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Differential Equations with Markovian Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4369402 / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(A\)-stability and stochastic mean-square stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: First order strong approximations of scalar SDEs defined in a domain / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of numerical methods for stochastic differential equations in mathematical finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations / rank
 
Normal rank

Latest revision as of 03:09, 15 July 2024

scientific article
Language Label Description Also known as
English
Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
scientific article

    Statements

    Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations (English)
    0 references
    0 references
    0 references
    0 references
    14 February 2018
    0 references
    strong convergence rate
    0 references
    exponential mean-square stability
    0 references
    stochastic theta-Milstein scheme
    0 references
    split-step theta-Milstein scheme
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references