Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations (Q4605703): Difference between revisions

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scientific article; zbMATH DE number 6843972

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English	Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations	scientific article; zbMATH DE number 6843972

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instance of

scholarly article

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title

Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations (English)

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Mathematics of Computation

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publication date

27 February 2018

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full work available at URL

https://arxiv.org/abs/1309.7657

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zbMATH Keywords

exponential moments

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numerical approximation

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stochastic differential equation

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Euler scheme

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Euler-Maruyama

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implicit Euler scheme

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tamed Euler scheme

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strong convergence rate

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MaRDI profile type

MaRDI publication profile

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cites work

Nonasymptotic mixing of the MALA algorithm

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Finite-element-based discretizations of the incompressible Navier-Stokes equations with multiplicative random forcing

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Stochastic Equations in Infinite Dimensions

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An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

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Semigroup Splitting and Cubature Approximations for the Stochastic Navier–Stokes Equations

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Improved moment estimates for invariant measures of semilinear diffusions in Hilbert spaces and applications

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Global flows for stochastic differential equations without global Lipschitz conditions

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On discretization schemes for stochastic evolution equations

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Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing

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A novel approach to construct numerical methods for stochastic differential equations

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Stochastic stability of the Ekman spiral

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

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Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

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Q4866235

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Convergence of the stochastic Euler scheme for locally Lipschitz coefficients

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous 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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Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

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Probability theory. A comprehensive course.

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Strong \(p\)-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds

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Strong convergence of the stopped Euler-Maruyama method for nonlinear 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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Balanced Implicit Methods for Stiff Stochastic Systems

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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First order strong approximations of scalar SDEs defined in a domain

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A concise course on stochastic partial differential equations

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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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General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T], \mu,\mathbb{R}^d)\)

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Q3022248

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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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The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

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Stochastic flows and Bismut formulas for stochastic Hamiltonian systems

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Identifiers

zbMATH Open document ID

1432.65011

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4605703

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