Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach

DOI10.1007/S40314-022-02164-YMaRDI QIDQ2685282zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 20 February 2023

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

Full work available at URL https://doi.org/10.1007/s40314-022-02164-y

zbMATH Keywords

asymptotic stabilityEuler-Maruyama schemestochastic differential systemsstrong consistency and convergence

Mathematics Subject Classification ID

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)

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Cited in

(1)

• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients

Describes a project that uses

Uses Software

• S-ROCK

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