The truncated Milstein method for super-linear stochastic differential equations with Markovian switching

DOI10.3934/DCDSB.2021201MaRDI QIDQ2090322zbMATH OpenOpenAlexWikidataFDO

Authors Weijun Zhan, Qian Guo, Yuhao Cong

Publication date 25 October 2022

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.2021201

zbMATH Keywords

Khasminskii-type conditionMarkovian switchingMilstein methodstochastic differential equationstrong convergence

Mathematics Subject Classification ID

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

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Cites work

• A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
• Milstein-type procedures for numerical solutions of stochastic differential equations with Markovian switching
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise

Cited in

(5)

• On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
• On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
• On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient
• 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

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