B-convergence of split-step one-leg theta methods for stochastic differential equations

DOI10.1007/s12190-011-0492-1zbMath1295.65009OpenAlexW2074567235MaRDI QIDQ2511030

Xiao-Jie Wang, Si-qing Gan

Publication date: 5 August 2014

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

Full work available at URL: https://doi.org/10.1007/s12190-011-0492-1

zbMATH Keywords

strong convergencenumerical experimentsstochastic differential equationsone-sided Lipschitz conditionB-convergenceboundedness of momentssplit-step one-leg theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• RODAS

Cites Work

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