Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

DOI10.1016/J.CAM.2018.01.017MaRDI QIDQ1747313zbMATH OpenOpenAlexFDO

Authors Liangjian Hu, Xiaoyue Li, Xuerong Mao

Publication date 4 May 2018

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.cam.2018.01.017

zbMATH Keywords

convergence rateEuler-Maruyama methodKhasminskii-type conditionstability analysisstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• The truncated Euler-Maruyama method for stochastic differential equations
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• A note on the partially truncated Euler-Maruyama method
• Strong convergence rates of modified truncated EM method for stochastic differential equations

Cites work

• A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
• A note on the LaSalle-type theorems for stochastic differential delay equations
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 44889 (Why is no real title available?)
• scientific article; zbMATH DE number 834475 (Why is no real title available?)
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Stability of regime-switching stochastic differential equations
• Stochastic differential equations and applications.
• Stochastic Differential Equations with Markovian Switching
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(57)

• Strong convergence rates of modified truncated EM method for stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• A note on the partially truncated Euler-Maruyama method
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• The partially truncated Euler-Maruyama method for nonlinear pantograph stochastic differential equations
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
• Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
• A positivity-preserving numerical algorithm for stochastic age-dependent population system with Lévy noise in a polluted environment
• A note on the asymptotic stability of the semi-discrete method for stochastic differential equations
• Stationary distribution and probability density function of a stochastic SIRSI epidemic model with saturation incidence rate and logistic growth
• Continuous stage stochastic Runge-Kutta methods
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
• Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
• The truncated EM method for stochastic differential equations with Poisson jumps
• Random walk numerical scheme for the steady-state of stochastic differential equations
• The truncated Euler-Maruyama method for stochastic differential equations
• Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
• Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations
• Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients
• Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Convergence and exponential stability of modified truncated Milstein method for stochastic differential equations
• The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
• Stochastic generalized Kolmogorov systems with small diffusion. I: Explicit approximations for invariant probability density function
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
• The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
• The logarithmic truncated EM method with weaker conditions
• A reliable computational scheme for stochastic unsteady mixed convection flow of Casson nanofluid
• Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
• An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
• A multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients
• Implicit semi-tamed Euler method for highly nonlinear stochastic differential equations
• A note on Euler approximations for stochastic differential equations involving the local time at point zero
• Truncated Euler-Maruyama approximation for solving perturbed stochastic differential equations with reflected boundary
• Uniform in time convergence of numerical schemes for stochastic differential equations via strong exponential stability: Euler methods, split-step and tamed schemes
• The truncated Euler-Maruyama method for Caputo fractional stochastic differential equations
• Truncated Euler-Maruyama method for hybrid stochastic functional differential equations with infinite time delay
• A new approach to approximate solutions of stochastic differential equations
• The exponential integrability properties and strong convergence rate of an explicit Euler's method for highly nonlinear stochastic differential equations
• Implicit partially truncated Euler-Maruyama method for highly nonlinear stochastic differential equations
• Two explicit methods for one-sided Lipschitz stochastic differential equations driven by fractional Brownian motion
• Strong convergence analysis of modified truncated Euler-Maruyama scheme for neutral stochastic delay differential equations with piecewise continuous arguments
• A Milstein-type method for highly non-linear non-autonomous time-changed stochastic differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

This page was built for publication: Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1747313)