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

DOI10.1016/J.APNUM.2019.11.014MaRDI QIDQ2301441zbMATH OpenOpenAlexWikidataFDO

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

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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Cites work

• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
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Cited in

(17)

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