The truncated Euler-Maruyama method for stochastic differential equations (Q492112): Difference between revisions

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English	The truncated Euler-Maruyama method for stochastic differential equations	scientific article

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scholarly article

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The truncated Euler-Maruyama method for stochastic differential equations (English)

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Journal of Computational and Applied Mathematics

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publication date

19 August 2015

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zbMATH Keywords

stochastic differential equation

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local Lipschitz condition

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Khasminskii-type condition

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truncated Euler-Maruyama method

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strong convergence

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describes a project that uses

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.cam.2015.06.002

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations

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

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Stability of regime-switching stochastic differential equations

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Khasminskii-type theorems for stochastic functional differential equations

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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 and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

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A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

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Preserving positivity in solutions of discretised stochastic differential equations

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Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations

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Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

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Balanced Implicit Methods for Stiff Stochastic Systems

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A Variable Stepsize Implementation for Stochastic Differential Equations

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The optimal uniform approximation of systems of stochastic differential equations

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A variable step-size control algorithm for the weak approximation of stochastic differential equations

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Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise

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A weak trapezoidal method for a class of stochastic differential equations

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A note on Euler's approximations

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

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Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations

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Stochastic ordinary differential equations in applied and computational mathematics

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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A note on tamed Euler approximations

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

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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Stochastic differential equations. An introduction with applications.

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CAM.2015.06.002

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Sitelinks

Mathematics(1 entry)

mardi Publication:492112

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