Numerical methods for some nonlinear stochastic differential equations

DOI10.1016/j.amc.2004.08.015zbMath1084.65010MaRDI QIDQ2572654

Khairia El-Said El-Nadi, Mahmoud M. El-Borai, Hamdy M. Ahmed, Osama L. Moustafa

Publication date: 4 November 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2004.08.015

zbMATH Keywords

convergence; moment bounds; Euler-Maruyama method; system of nonlinear stochastic partial differential equations

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Cites Work

• On the initial value problem for a partial differential equation with operator coefficients
• A note on Euler's approximations
• Almost sure exponential stability of neutral stochastic differential difference equations
• Existence of strong solutions for Itô's stochastic equations via approximations
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Convergence of Numerical Schemes for Stochastic Differential Equations
• Parameter identification for an abstract Cauchy problem by quasilinearization
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item