Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

DOI10.1080/00207160.2013.871541zbMath1309.65011OpenAlexW1987022525MaRDI QIDQ2931962

Fengze Jiang, Chao Yue, Cheng-Ming Huang

Publication date: 28 November 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.871541

zbMATH Keywords

strong convergencenumerical resultone-sided Lipschitz conditionItô stochastic differential equationsbounded momentssplit-step theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (14)

Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients ⋮ Double-implicit and split two-step Milstein schemes for stochastic differential equations ⋮ Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations ⋮ Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ The truncated Milstein method for stochastic differential equations with commutative noise ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition ⋮ Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients ⋮ Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations ⋮ Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations ⋮ High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients ⋮ Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations ⋮ Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations

Cites Work

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• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
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• B-convergence of split-step one-leg theta methods for stochastic differential equations
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• A Variable Stepsize Implementation for Stochastic Differential Equations
• Rigid-Body Dynamics with Friction and Impact

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