Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (Q2154871)

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Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

scientific article; zbMATH DE number 7556838

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English	Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients	scientific article; zbMATH DE number 7556838

Statements

instance of

scholarly article

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title

Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (English)

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published in

Applied Numerical Mathematics

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publication date

15 July 2022

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zbMATH Keywords

stochastic differential equations

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non-globally Lipschitz coefficients

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split-step theta Milstein methods

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strong convergence rates

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.apnum.2022.05.004

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cites work

Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

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

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An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients

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Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

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Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients

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The truncated Milstein method for stochastic differential equations with commutative noise

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

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

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Q4866235

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

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone 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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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

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Adaptive time-stepping strategies for nonlinear stochastic systems

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Higher-order implicit strong numerical schemes for stochastic differential equations

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

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Stochastic differential equations and applications.

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The truncated Euler-Maruyama method for stochastic differential equations

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

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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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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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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions

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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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A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications

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

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Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

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High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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

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Identifiers

zbMATH Open document ID

1492.65028

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Mathematics Subject Classification ID

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10.1016/J.APNUM.2022.05.004

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Sitelinks

Mathematics(1 entry)

mardi Publication:2154871