Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation (Q2050920)

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English	Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation	scientific article

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instance of

scholarly article

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title

Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation (English)

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zbMATH Open document ID

1481.65021

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DOI

10.1016/j.cam.2021.113704

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Journal of Computational and Applied Mathematics

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publication date

1 September 2021

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full work available at URL

https://arxiv.org/abs/2106.11425

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Mathematics Subject Classification ID

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stochastic differential equations

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one-sided Lipschitz drift coefficient

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exponential integrator

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MaRDI profile type

MaRDI publication profile

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

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

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

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

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A note on tamed Euler approximations

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Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

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Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations

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

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

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On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

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Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability

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The truncated Euler-Maruyama method for stochastic differential equations

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Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

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Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

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A new class of exponential integrators for SDEs with multiplicative noise

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Local linearization method for the numerical solution of stochastic differential equations

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A numerical scheme for stochastic PDEs with Gevrey regularity

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Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations

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Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations

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Runge-Kutta Lawson schemes for stochastic differential equations

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Q5429735

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Stochastic models in biology and the invariance problem

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A stochastic model for internal HIV dynamics

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Q3392414

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A Milstein scheme for SPDEs

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