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

DOI10.1016/j.cam.2018.03.027OpenAlexW2805663336MaRDI QIDQ1643817

Burhaneddin İzgi, Coskun Cetin

Publication date: 20 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.03.027

zbMATH Keywords

Euler methodnonlinear stochastic differential equationssemi implicit numerical methodsplit-step methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients ⋮ Strong convergence of semi-implicit split-step methods for SDE with locally Lipschitz coefficients ⋮ Adams predictor-corrector method for solving uncertain differential equation ⋮ Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients ⋮ Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation

Cites Work

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• A note on tamed Euler approximations
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• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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