$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs (Q4600707)

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V-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs

scientific article; zbMATH DE number 6825245

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English	$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs	scientific article; zbMATH DE number 6825245

Statements

instance of

scholarly article

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title

$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs (English)

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Mathematics of Computation

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publication date

12 January 2018

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zbMATH Keywords

stochastic differential equations

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Lyapunov functions

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Euler scheme

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integrability

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stability

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comparison theorem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1090/mcom/3219

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cites work

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

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

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$A$-stability and stochastic mean-square stability

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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

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Almost Sure and Moment Exponential Stability in the Numerical Simulation of 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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On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients

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

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Stochastic versions of the LaSalle theorem

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Stochastic differential equations and applications.

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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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Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous 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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A note on tamed Euler approximations

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The improved LaSalle-type theorems for stochastic functional differential equations

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

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Almost sure exponential stability of numerical solutions for stochastic delay differential equations

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Identifiers

zbMATH Open document ID

1380.65020

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs