Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient (Q2059650): Difference between revisions

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English	Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient	scientific article

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scholarly article

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title

Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient (English)

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Journal of Computational and Applied Mathematics

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publication date

14 December 2021

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zbMATH Keywords

partially truncated Euler-Maruyama method

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Hölder diffusion coefficients

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strong convergence

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stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2021.113895

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cites work

Higher-order implicit strong numerical schemes for stochastic differential equations

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic 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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Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

0 references

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

0 references

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

0 references

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

0 references

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

0 references

Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations

0 references

Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients

0 references

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

0 references

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

0 references

A note on tamed Euler approximations

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Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

0 references

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

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

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The truncated Euler-Maruyama method for stochastic differential equations

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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability

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Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations

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Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

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Strong convergence rates of modified truncated EM method for stochastic differential equations

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The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients

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On the discretization schemes for the CIR (and Bessel squared) processes

0 references

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

0 references

First order strong approximations of scalar SDEs defined in a domain

0 references

The Euler scheme with irregular coefficients

0 references

Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

0 references

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

0 references

Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

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Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient

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OUP accepted manuscript

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Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

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Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient

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A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients

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Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

0 references

Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons

0 references

The partially truncated Euler-Maruyama method and its stability and boundedness

0 references

On the uniqueness of solutions of stochastic differential equations

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Q4226355

0 references

Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1483.65018

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DOI

10.1016/j.cam.2021.113895

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2059650

@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
+Normal rank
@@ Property / cites work @@
+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
+Normal rank
@@ Property / cites work @@
+A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
+Normal rank
@@ Property / cites work @@
+Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
+Normal rank
@@ Property / cites work @@
+Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+A note on tamed Euler approximations
@@ Property / cites work: A note on tamed Euler approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
+Normal rank
@@ Property / cites work @@
+The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
+Normal rank
@@ Property / cites work @@
+Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Strong convergence rates of modified truncated EM method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
+Normal rank
@@ Property / cites work @@
+First order strong approximations of scalar SDEs defined in a domain
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
+Normal rank
@@ Property / cites work @@
+Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
+Normal rank
@@ Property / cites work @@
+OUP accepted manuscript
@@ Property / cites work: OUP accepted manuscript / rank @@
+Normal rank
@@ Property / cites work @@
+Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
+Normal rank
@@ Property / cites work @@
+Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
+Normal rank
@@ Property / cites work @@
+A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
+Normal rank
@@ Property / cites work @@
+Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
+Normal rank
@@ Property / cites work @@
+The partially truncated Euler-Maruyama method and its stability and boundedness
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
+Normal rank