Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations (Q1696428)

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

scientific article; zbMATH DE number 6838768

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English	Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations	scientific article; zbMATH DE number 6838768

Statements

instance of

scholarly article

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title

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

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Journal of Computational and Applied Mathematics

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publication date

14 February 2018

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full work available at URL

https://arxiv.org/abs/1501.03695

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zbMATH Keywords

strong convergence rate

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exponential mean-square stability

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stochastic theta-Milstein scheme

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split-step theta-Milstein scheme

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MaRDI profile type

MaRDI publication profile

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cites work

Higher-order implicit strong numerical schemes for stochastic differential equations

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Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

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Convergence of the stochastic Euler scheme for locally Lipschitz coefficients

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The random attractor of the stochastic Lorenz system

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A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion)

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

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Euler approximations with varying coefficients: the case of superlinearly growing diffusion 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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Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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Implicit Taylor methods for stiff stochastic differential equations

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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Stable strong order 1.0 schemes for solving stochastic ordinary differential equations

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

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Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Mean-square stability of numerical schemes for stochastic differential systems

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

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

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Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic 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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Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

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Stochastic Differential Equations with Markovian Switching

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Q4369402

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\(A\)-stability and stochastic mean-square stability

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Identifiers

zbMATH Open document ID

1382.65026

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Mathematics Subject Classification ID

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10.1016/J.CAM.2017.12.025

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Sitelinks

Mathematics(1 entry)

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