Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
DOI10.3934/dcdsb.2018203zbMath1404.65073OpenAlexW2809233765WikidataQ129415908 ScholiaQ129415908MaRDI QIDQ1755935
Minghui Song, Yulan Lu, Ming-Zhu Liu
Publication date: 11 January 2019
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2018203
convergence rateexponential mean square stabilitystochastic differential equations with piecewise continuous argumentsthe improved split-step theta (ISST) methodthe split-step theta (SST) method
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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