Asymptotic moment boundedness of the numerical solutions of stochastic differential equations

DOI10.1016/J.CAM.2013.03.037zbMATH Open1288.65009OpenAlexW1989564955MaRDI QIDQ2453095FDOQ2453095

Wei Liu, Xuerong Mao

Publication date: 6 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.cam.2013.03.037

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zbMATH Keywords

nonlinear SDEsnumerical asymptotic boundednessthe backward Euler methodthe Euler-Maruyama method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
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Cited In (4)

• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• Asymptotic mean-square boundedness of the numerical solutions of stochastic age-dependent population equations with Poisson jumps
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
• The partially truncated Euler-Maruyama method and its stability and boundedness

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