Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients (Q6165526)

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Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

scientific article; zbMATH DE number 7707438

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English	Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients	scientific article; zbMATH DE number 7707438

Statements

instance of

scholarly article

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title

Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients (English)

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East Asian Journal on Applied Mathematics

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publication date

5 July 2023

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zbMATH Keywords

stochastic differential equation

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non-globally Lipschitz coefficient

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split-step theta method

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strong convergence rate

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.4208/eajam.161121.090722

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

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

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Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

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

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

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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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Q4866235

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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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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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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Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

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Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms

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Adaptive time-stepping strategies for nonlinear stochastic systems

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Higher-order implicit strong numerical schemes for stochastic differential equations

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On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

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Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients

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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 and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

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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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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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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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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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Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

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Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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Identifiers

zbMATH Open document ID

1515.60254

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Mathematics Subject Classification ID

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10.4208/EAJAM.161121.090722

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Sitelinks

Mathematics(1 entry)

mardi Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients