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

scientific article; zbMATH DE number 7173182

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English	Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients	scientific article; zbMATH DE number 7173182

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instance of

scholarly article

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title

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

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Applied Numerical Mathematics

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publication date

24 February 2020

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zbMATH Keywords

stochastic differential equation

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super-linearly growing coefficients

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stochastic Runge-Kutta method

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commutative noise

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strong convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

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

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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 Runge-Kutta methods for Itô sodes with small noise

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

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

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

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous 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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Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations

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

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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 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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Q4826106

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

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Second order Runge-Kutta methods for Itô stochastic differential equations

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

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

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Implicit Taylor methods for stiff stochastic differential equations

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Weak Second Order Conditions for Stochastic Runge--Kutta Methods

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

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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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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Identifiers

zbMATH Open document ID

1441.65013

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Mathematics Subject Classification ID

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10.1016/J.APNUM.2019.11.014

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Sitelinks

Mathematics(1 entry)

mardi Publication:2301441