The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
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Publication:313640
DOI10.1016/J.CAM.2016.04.011zbMATH Open1468.65007OpenAlexW2346607720MaRDI QIDQ313640FDOQ313640
Publication date: 12 September 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.04.011
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- scientific article; zbMATH DE number 5257362
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited In (6)
- An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- A stochastic model for the evolution of bone metastasis: persistence and recovery
- Fluctuating periodic solutions and moment boundedness of a stochastic model for the bone remodeling process
- A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
- Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
- Editorial: Mathematical modeling and computational methods
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