Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients (Q1758398)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients |
scientific article |
Statements
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients (English)
0 references
9 November 2012
0 references
This paper analyses the strong convergence and almost sure asymptotic stability of the theta Euler-Maruyama methods when applied to stochastic differential equations with nonlinear and non-Lipschitzian coefficients.
0 references
super-linear growth
0 references
stochastic differential equation
0 references
strong convergence
0 references
backward Euler-Maruyama scheme
0 references
LaSalle principle
0 references
almost sure stability
0 references
