On the Itô-Alekseev-Gröbner formula for stochastic differential equations (Q6596220)

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On the Itô-Alekseev-Gröbner formula for stochastic differential equations

scientific article; zbMATH DE number 7904819

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English	On the Itô-Alekseev-Gröbner formula for stochastic differential equations	scientific article; zbMATH DE number 7904819

Statements

instance of

scholarly article

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title

On the Itô-Alekseev-Gröbner formula for stochastic differential equations (English)

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Annales de l'Institut Henri Poincaré. Probabilités et Statistiques

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publication date

2 September 2024

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zbMATH Keywords

stochastic differential equations

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Alekseev-Gröbner formula

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Itô formula

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strong convergence rate

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MaRDI profile type

MaRDI publication profile

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cites work

An extension of Itô's formula for anticipating processes

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A variational approach to nonlinear and interacting diffusions

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Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations

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Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations

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Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen-Cahn equation

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Analysis of some splitting schemes for the stochastic Allen-Cahn equation

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On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations

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Loss of regularity for Kolmogorov equations

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

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A First Course in the Numerical Analysis of Differential Equations

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Global bounds on numerical error for ordinary differential equations

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Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities

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Q3874765

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Adaptive time-stepping strategies for nonlinear stochastic systems

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On the backward Euler approximation of the stochastic Allen-Cahn equation

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Strong and weak approximation of semilinear stochastic evolution equations

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Enhancing the order of the Milstein scheme for stochastic partial differential equations with commutative noise

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Strong \(p\)-completeness of stochastic differential equations and the existence of smooth flows on noncompact manifolds

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Lack of strong completeness for stochastic flows

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Superconvergence for Multistep Collocation

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Strong approximation of monotone stochastic partial differential equations driven by white noise

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Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise

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Optimal strong rates of convergence for a space-time discretization of the stochastic Allen-Cahn equation with multiplicative noise

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Lower bounds and nonuniform time discretization for approximation of stochastic heat equations

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Optimal pointwise approximation of a linear stochastic heat equation with additive space-time white noise

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OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

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Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

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The real-pole sandwich for rational approximations and oscillation equations

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Q4842684

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Stochastic calculus with anticipating integrands

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A two-sided stochastic integral and its calculus

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Q4303982

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

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Expansion of the global error for numerical schemes solving stochastic differential equations

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Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise

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An efficient explicit full-discrete scheme for strong approximation of stochastic Allen-Cahn equation

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Stochastic flows and Bismut formulas for stochastic Hamiltonian systems

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Identifiers

Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi On the Itô-Alekseev-Gröbner formula for stochastic differential equations