Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients

DOI10.1016/j.amc.2021.126437MaRDI QIDQ2246428

Yuelin Li, Wan-Rong Cao, Yu-Fen Liu

Publication date: 16 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126437

zbMATH Keywords

strong convergence; exponential stability; nonlinear problems; mean-square contraction; the balanced method

Mathematics Subject Classification ID

65L20: Stability and convergence of numerical methods for ordinary differential equations

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

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