Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients

DOI10.1016/J.APNUM.2019.11.014zbMATH Open1441.65013OpenAlexW2991424913WikidataQ126663904 ScholiaQ126663904MaRDI QIDQ2301441FDOQ2301441

Authors: Youzi He, Siqing Gan, Xiaojie Wang 

Publication date: 24 February 2020

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.11.014

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zbMATH Keywords

stochastic differential equationstrong convergencestochastic Runge-Kutta methodcommutative noisesuper-linearly growing coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (17)

• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
• Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
• First order strong convergence of an explicit scheme for the stochastic SIS epidemic model
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
• The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
• Mean-square convergence of an explicit derivative-free truncated method for nonlinear SDEs covering the non-commutative noise case
• The linearly backward Milstein method with truncated Wiener process for the stochastic SIS epidemic model

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