B-convergence of split-step one-leg theta methods for stochastic differential equations
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Publication:2511030
B-convergenceboundedness of momentsnumerical experimentsone-sided Lipschitz conditionsplit-step one-leg theta methodsstochastic differential equationsstrong convergence
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- A note on Euler's approximations
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- Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
- Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
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- Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
- Numerical methods for nonlinear stochastic differential equations with jumps
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
- The Concept of B-Convergence
Cited in
(24)- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- Implicit numerical solutions for solving stochastic differential equations with jumps
- The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Strong convergence of semi-implicit split-step methods for SDE with locally Lipschitz coefficients
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations
- Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
- Convergence analysis of a splitting method for stochastic differential equations
- Strong convergence of the split-step one-leg methods for stochastic differential equations
- Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- Strong convergence of the improved split-step one-leg methods for stochastic differential equations
- Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
- An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
- Numerical threshold of split-step methods for stochastic age-structured population models
- Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
- Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
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