Divergence of the backward Euler method for ordinary stochastic differential equations

DOI10.1007/S11075-019-00661-6MaRDI QIDQ2009062zbMATH OpenOpenAlexWikidataFDO

Authors M. Milosevic

Publication date 27 November 2019

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-019-00661-6

zbMATH Keywords

backward Euler methodone-sided Lipschitz conditionordinary stochastic differential equationsstrong \(L^p\)-divergencesuper-linear growth conditions

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Exponential convergence of Langevin distributions and their discrete approximations
• Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• Stochastic Differential Equations with Markovian Switching
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

Cited in

(2)

• \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs
• Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay

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