Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients (Q475669)

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English	Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients	scientific article

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instance of

scholarly article

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title

Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients (English)

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Journal of Computational and Applied Mathematics

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publication date

27 November 2014

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zbMATH Keywords

stochastic differential delay equation

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split-step theta scheme

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stochastic linear theta scheme

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strong convergence rate

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exponential mean square 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.2014.10.014

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cites work

Q4369402

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Stochastic Differential Delay Equation, Moment Stability, and Application to Hematopoietic Stem Cell Regulation System

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Infinite horizon optimal control of forward-backward stochastic differential equations with delay

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Stochastic differential delay equations with Markovian switching

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Existence and uniqueness of solutions of stochastic functional differential equations

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Almost sure asymptotic stability analysis of the <i>θ</i>-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

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Numerical Solutions of Stochastic Differential Delay Equations with Jumps

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Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

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The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus

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Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations

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Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

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Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Convergence of the stochastic Euler scheme for locally Lipschitz 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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Q4866235

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

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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

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

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

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Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

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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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Convergence of numerical methods for stochastic differential equations in mathematical finance

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A note on Euler approximations for stochastic differential equations with delay

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Convergence rate of numerical solutions to SFDEs with jumps

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The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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Numerical Solutions of Stochastic Functional Differential Equations

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Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

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Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations

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The improved split-step backward Euler method for stochastic differential delay equations

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Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations

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Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations

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The boundedness and exponential stability criterions for nonlinear hybrid neutral stochastic functional differential equations

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Identifiers

zbMATH Open document ID

1306.65011

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DOI

10.1016/j.cam.2014.10.014

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:475669