Strong convergence of semi-implicit split-step methods for SDE with locally Lipschitz coefficients

DOI10.1016/J.CNSNS.2020.105574OpenAlexW3094914387MaRDI QIDQ2213530FDOQ2213530

Burhaneddin İzgi, Coskun Cetin

Publication date: 2 December 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2020.105574

zbMATH Keywords

stochastic differential equationsstrong convergenceone-sided Lipschitz conditionsplit-step numerical methods

Mathematics Subject Classification ID

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

Cites Work

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• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
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• The truncated Euler-Maruyama method for stochastic differential equations
• A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
• A note on stability of stochastic logistic equation
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Title not available (Why is that?)
• Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms
• A way to model stochastic perturbations in population dynamics models with bounded realizations
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• The logistic S. D. E.

Cited In (2)

• The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
• On the approximations of solutions to stochastic differential equations under polynomial condition

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