Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

DOI10.1016/J.APNUM.2022.05.004MaRDI QIDQ2154871zbMATH OpenOpenAlexFDO

Authors Xiao-Juan Wu, Siqing Gan

Publication date 15 July 2022

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2022.05.004

zbMATH Keywords

non-globally Lipschitz coefficientssplit-step theta Milstein methodsstochastic differential equationsstrong convergence rates

Mathematics Subject Classification ID

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)

Recommendations

• Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

Cites work

• A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
• A note on tamed Euler approximations
• Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
• Adaptive time-stepping strategies for nonlinear stochastic systems
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 850216 (Why is no real title available?)
• Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• 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
• On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• Stochastic differential equations and applications.
• 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 implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• 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 split-step theta methods for non-autonomous stochastic differential equations
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion 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

(14)

• Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
• Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
• An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
• Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
• Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
• Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions
• Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
• A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis

This page was built for publication: Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2154871)