Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition (Q2192600)

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

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title

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

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17 August 2020

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zbMATH Keywords

stochastic differential equations

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stochastic theta methods

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mean-square convergence rates

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multiplicative noise

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additive noise

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small noise

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Ait-Sahalia model

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10543-019-00793-0

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cites work

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

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Two-sided error estimates for the stochastic theta method

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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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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Identifiers

zbMATH Open document ID

1469.65033

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DOI

10.1007/s10543-019-00793-0

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2192600