A note on the partially truncated Euler-Maruyama method

DOI10.1016/J.APNUM.2018.04.004zbMATH Open1397.65017OpenAlexW2797178545WikidataQ129994846 ScholiaQ129994846MaRDI QIDQ1748428FDOQ1748428

Authors: Qian Guo, Wei Liu, Xuerong Mao 

Publication date: 11 May 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.04.004

Recommendations

• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Strong convergence rates of modified truncated EM method for stochastic differential equations
• The truncated Euler-Maruyama method for stochastic differential equations

zbMATH Keywords

stochastic differential equationconvergence ratelocal Lipschitz conditionKhasminskii-type conditionpartially truncated Euler-Maruyama method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic differential equations and applications.
• Stochastic Differential Equations with Markovian Switching
• Stability of regime-switching stochastic differential equations
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• Khasminskii-type theorems for stochastic functional differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness

Cited In (16)

• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method for nonlinear pantograph stochastic differential equations
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• 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
• Positive preserving property of the partially truncated Euler-Maruyama method
• The truncated EM method for stochastic differential equations with Poisson jumps
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
• The logarithmic truncated EM method with weaker conditions
• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients

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