Numerical Analysis of Stochastic Differential Equations with Explosions

DOI10.1081/SAP-200064484MaRDI QIDQ5312735zbMATH OpenOpenAlexFDO

Authors Juan Dávila, Julián Fernández Bonder, J. D. Rossi, Pablo Groisman, Mariela Sued

Publication date 25 August 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-200064484

zbMATH Keywords

adaptive methodsblow upsEuler-Maruyama methodexplosion timeinitial value problemsnumerical examplesstepsize controlstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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Cites work

• An adaptive time step procedure for a parabolic problem with blow-up
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

Cited in

(11)

• Time-space white noise eliminates global solutions in reaction-diffusion equations
• Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion
• A globally adaptive explicit numerical method for exploding systems of ordinary differential equations
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• Positivity-preserving numerical schemes for stochastic differential equations
• Some Feller and Osgood type criteria for semilinear stochastic differential equations
• Continuity of the Explosion Time in Stochastic Differential Equations
• Preservation of the growth rates of delay differential equations by Euler schemes with non-uniform step sizes
• Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
• An Osgood criterion for integral equations with applications to stochastic differential equations with an additive noise
• Numerical and mathematical analysis of blow-up problems for a stochastic differential equation

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