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

DOI10.1080/00207160.2013.871541zbMath1309.65011MaRDI 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 convergence; numerical result; one-sided Lipschitz condition; Itô stochastic differential equations; bounded moments; split-step theta methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

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

65C30: Numerical solutions to stochastic differential and integral equations

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Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations, 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, Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises, 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, 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, Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients, Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations, Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations, High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients, Double-implicit and split two-step Milstein schemes for stochastic differential equations

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