Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
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Publication:1758398
DOI10.1016/j.cam.2012.08.015zbMath1262.65012arXiv1204.1874OpenAlexW2061230119MaRDI QIDQ1758398
Publication date: 9 November 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.1874
stochastic differential equationstrong convergencealmost sure stabilitysuper-linear growthbackward Euler-Maruyama schemeLaSalle principle
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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