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

DOI10.1007/S40314-022-02164-YOpenAlexW4313256056MaRDI QIDQ2685282FDOQ2685282

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

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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

Uses Software

• S-ROCK

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