Convergence rate of the truncated Milstein method of stochastic differential delay equations

DOI10.1016/J.AMC.2019.04.001MaRDI QIDQ2009593zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2019.04.001

zbMATH Keywords

Khasminskii-type conditionlocal Lipschitz conditionstochastic differential delay equationstrong convergencetruncated Milstein method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Advances in the truncated Euler-Maruyama method for stochastic differential delay equations
• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• Strong convergence of the truncated Milstein numerical solution of neutral stochastic delay differential equations
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• The truncated Euler-Maruyama method for highly nonlinear stochastic differential equations with multiple time delays

Cites work

• Almost sure exponential stability of neutral stochastic differential difference equations
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Approximate solutions for a class of stochastic evolution equations with variable delays
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Khasminskii-type theorems for stochastic functional differential equations
• Mathematical analysis II. Transl. from the 4th Russian edition by Roger Cooke
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Stochastic Differential Equations with Markovian Switching
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• The Milstein scheme for stochastic delay differential equations without using anticipative calculus
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(22)

• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Advances in the truncated Euler-Maruyama method for stochastic differential delay equations
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate
• Convergence of Milstein methods for scalar Fokker-Planck equations
• Strong convergence of the truncated Milstein numerical solution of neutral stochastic delay differential equations
• Convergence rate of the truncated Euler-Maruyama method for neutral stochastic differential delay equations with Markovian switching
• Convergence rates of truncated theta-EM scheme for SDDEs
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• The truncated Euler-Maruyama method for highly nonlinear stochastic differential equations with multiple time delays
• Convergence and exponential stability of modified truncated Milstein method for stochastic differential equations
• An explicit split-step truncated Milstein method for stochastic differential equations
• Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments
• The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
• Explicit approximation of invariant measure for stochastic delay differential equations with the nonlinear diffusion term
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Implicit partially truncated Euler-Maruyama method for highly nonlinear stochastic differential equations
• Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods

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