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

DOI10.1016/J.APNUM.2017.01.010zbMath1358.65008OpenAlexW2583017999MaRDI QIDQ512309

Qian Guo, Xuerong Mao, Wei Liu, Rong-Xian Yue

Publication date: 24 February 2017

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2017.01.010

zbMATH Keywords

stabilitystochastic differential equationboundednesslocal Lipschitz conditionKhasminskii-type conditionpartially truncated Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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