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

DOI10.1016/J.CNSNS.2020.105574OpenAlexW3094914387MaRDI QIDQ2213530FDOQ2213530

Authors 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)

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Cites work

• A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
• A note on stability of stochastic logistic equation
• A way to model stochastic perturbations in population dynamics models with bounded realizations
• An axiomatic approach to numerical approximations of stochastic processes
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms
• Stochastic differential equations and applications.
• 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 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
• The logistic S. D. E.
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(2)

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

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