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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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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