Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients (Q2246428)

scientific article

Language	Label	Description	Also known as
English	Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients	scientific article

Statements

instance of

scholarly article

0 references

title

Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients (English)

0 references

0 references

0 references

0 references

Applied Mathematics and Computation

0 references

publication date

16 November 2021

0 references

zbMATH Keywords

nonlinear problems

0 references

the balanced method

0 references

strong convergence

0 references

exponential stability

0 references

mean-square contraction

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.amc.2021.126437

0 references

cites work

Split-step double balanced approximation methods for stiff stochastic differential equations

0 references

On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions

0 references

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

0 references

The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions

0 references

Q3883249

0 references

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

0 references

Mean-Square and Asymptotic Stability of the Stochastic Theta Method

0 references

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

0 references

Q4866235

0 references

Exponential mean square stability of numerical methods for systems of stochastic differential equations

0 references

Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

0 references

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

0 references

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

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

0 references

Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition

0 references

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

0 references

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

0 references

Balanced Implicit Methods for Stiff Stochastic Systems

0 references

Q4826106

0 references

Numerical solution of stochastic differential equations with jumps in finance

0 references

Stability Analysis of Numerical Schemes for Stochastic Differential Equations

0 references

Mean-square stability of numerical schemes for stochastic differential systems

0 references

Strong convergence of the tamed and the semi-tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition

0 references

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

0 references

Split-step backward balanced Milstein methods for stiff stochastic systems

0 references

Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments

0 references

Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs

0 references

A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations

0 references

Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

0 references

Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation

0 references

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

0 references

Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

0 references

Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

0 references

Identifiers

DOI

10.1016/j.amc.2021.126437

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2246428