Stability in the small moment sense of the backward Euler-Maruyama method for stochastic differential equations with super-linear coefficients
DOI10.1016/J.AML.2022.108543zbMATH Open1503.65017OpenAlexW4312056040MaRDI QIDQ2678366FDOQ2678366
Yudong Wang, Ruoxue Wu, Xiaotong Li, Wei Liu
Publication date: 23 January 2023
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2022.108543
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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)
Cites Work
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- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
- Stochastic ordinary differential equations in applied and computational mathematics
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
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