A note on the partially truncated Euler-Maruyama method

DOI10.1016/J.APNUM.2018.04.004MaRDI QIDQ1748428zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

convergence rateKhasminskii-type conditionlocal Lipschitz conditionpartially truncated Euler-Maruyama methodstochastic differential equation

Mathematics Subject Classification ID

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

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Cites work

• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2066899 (Why is no real title available?)
• Khasminskii-type theorems for stochastic functional differential equations
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Stability of regime-switching stochastic differential equations
• Stochastic differential equations and applications.
• Stochastic Differential Equations with Markovian Switching
• The partially truncated Euler-Maruyama method and its stability and boundedness
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(25)

• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients
• 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
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• The truncated EM method for stochastic differential equations with Poisson jumps
• Positive preserving property of the partially truncated Euler-Maruyama method
• 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
• The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero
• The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
• The logarithmic truncated EM method with weaker conditions
• 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
• Convergence and stability of the partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Poisson jumps
• 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
• 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
• A truncated-type explicit numerical method for the stochastic Allen-Cahn equation
• Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and Hölder's continuous time variables
• Convergence and stability of truncated Euler-Maruyama algorithm for stochastic proportional delay Mckean-Vlasov models with jump process
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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