Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients (Q2301441)

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

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

scientific article; zbMATH DE number 7173182

Language	Label	Description	Also known as
default for all languages	No label defined
English	Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients	scientific article; zbMATH DE number 7173182

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

0 references

Applied Numerical Mathematics

0 references

publication date

24 February 2020

0 references

zbMATH Keywords

stochastic differential equation

0 references

super-linearly growing coefficients

0 references

stochastic Runge-Kutta method

0 references

commutative noise

0 references

strong convergence

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.apnum.2019.11.014

0 references

cites work

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

0 references

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

0 references

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

0 references

Stochastic Runge-Kutta methods for Itô sodes with small noise

0 references

Order conditions of stochastic Runge--Kutta methods by B-series

0 references

B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

0 references

The truncated Milstein method for stochastic differential equations with commutative noise

0 references

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

0 references

Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods

0 references

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

0 references

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

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

0 references

A survey of numerical methods for stochastic differential equations

0 references

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

0 references

A step size control algorithm for the weak approximation of stochastic differential equations

0 references

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

0 references

Stochastic differential equations and applications.

0 references

The truncated Euler-Maruyama method for stochastic differential equations

0 references

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

0 references

Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

0 references

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

0 references

Q4826106

0 references

Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

0 references

Second order Runge-Kutta methods for Itô stochastic differential equations

0 references

Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

0 references

A note on tamed Euler approximations

0 references

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

0 references

Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations

0 references

Implicit Taylor methods for stiff stochastic differential equations

0 references

Weak Second Order Conditions for Stochastic Runge--Kutta Methods

0 references

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

0 references

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

0 references

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

0 references

High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise

0 references

Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

0 references

Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

0 references

Identifiers

zbMATH Open document ID

1441.65013

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

10.1016/J.APNUM.2019.11.014

0 references

Sitelinks

Mathematics(1 entry)

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