Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients (Q1758398): Difference between revisions
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Revision as of 21:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Strong convergence and stability of implicit numerical methods 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 (English)
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9 November 2012
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This paper analyses the strong convergence and almost sure asymptotic stability of the theta Euler-Maruyama methods when applied to stochastic differential equations with nonlinear and non-Lipschitzian coefficients.
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super-linear growth
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stochastic differential equation
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strong convergence
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backward Euler-Maruyama scheme
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LaSalle principle
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almost sure stability
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