Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations (Q4963884)

scientific article; zbMATH DE number 7314947

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English	Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations	scientific article; zbMATH DE number 7314947

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instance of

scholarly article

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title

Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations (English)

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Journal of Difference Equations and Applications

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publication date

24 February 2021

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zbMATH Keywords

locally Lipschitz condition

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strong convergence

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stability

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non-autonomous stochastic differential equations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10236198.2020.1857748

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cites work

Numerical solution of stochastic differential problems in the biosciences

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Strong Convergence of Euler-Type Methods for Nonlinear 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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The Improved LaSalle-Type Theorems for Stochastic Differential Delay Equations

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Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability

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Q3995465

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

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Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations

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The almost sure asymptotic stability and pth moment asymptotic stability of nonlinear stochastic delay differential systems with polynomial growth

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Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

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Almost sure exponential stability of neutral stochastic differential difference equations

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Some contributions to stochastic asymptotic stability and boundedness via multiple Lyapunov functions

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The truncated Euler-Maruyama method for stochastic differential equations

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Khasminskii-Type Theorems for Stochastic Differential Delay Equations

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Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations

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On the numerical stability of simulation methods for SDEs under multiplicative noise in finance

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A note on tamed Euler approximations

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Mean-square convergence of stochastic multi-step methods with variable step-size

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Ergodicity for population dynamics driven by stable processes with Markovian switching

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

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

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Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons

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Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations

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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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Identifiers

zbMATH Open document ID

1460.65007

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DOI

10.1080/10236198.2020.1857748

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:4963884