The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation

DOI10.1016/J.CAM.2016.04.011MaRDI QIDQ313640zbMATH OpenOpenAlexFDO

Authors Silvia Jerez, S. Díaz-Infante

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

zbMATH Keywords

stochastic differential equationsstrong convergenceexplicit methodsSteklov average

Mathematics Subject Classification ID

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

(7)

• Editorial: Mathematical modeling and computational methods
• 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
• Exact difference schemes for stochastic differential equations

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