Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
From MaRDI portal
Publication:341600
DOI10.1214/15-AAP1140zbMath1352.60101arXiv1308.1796MaRDI QIDQ341600
Publication date: 16 November 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.1796
stochastic differential equationsconvergence ratelocal Lipschitz conditionexplicit Euler approximationssuperlinearly growing coefficients
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) (L^p)-limit theorems (60F25)
Related Items
A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions, The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise, Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions, Convergence of tamed Euler schemes for a class of stochastic evolution equations, Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes, On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients, Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching, A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model, The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation, Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms, Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons, Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients, Order-preserving strong schemes for SDEs with locally Lipschitz coefficients, The numerical approximation to a stochastic age-structured HIV/AIDS model with nonlinear incidence rates, Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients, Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations, Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients, The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion, Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients, Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient, On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching, Sublinear Convergence of a Tamed Stochastic Gradient Descent Method in Hilbert Space, Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients, Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation, On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients, Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift, An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients, Strong convergence rates of modified truncated EM method for stochastic differential equations, Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations, Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition, Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness, Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error, Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift, The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero, On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions, A strongly monotonic polygonal Euler scheme, Probability density function of SDEs with unbounded and path-dependent drift coefficient, Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations, Taming Neural Networks with TUSLA: Nonconvex Learning via Adaptive Stochastic Gradient Langevin Algorithms, A positivity preserving Lamperti transformed Euler-Maruyama method for solving the stochastic Lotka-Volterra competition model, Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations, Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients, A higher order positivity preserving scheme for the strong approximations of a stochastic epidemic model, Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients, The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients, Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments, Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion, Strong convergence and extinction of positivity preserving explicit scheme for the stochastic SIS epidemic model, Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations, On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes, On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth, Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients, Lower and upper bounds for strong approximation errors for numerical approximations of stochastic heat equations, Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients, Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients, Existence, uniqueness, and numerical approximations for stochastic Burgers equations, An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model, First order strong convergence of positivity preserving logarithmic Euler-Maruyama method for the stochastic SIS epidemic model, Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients, The semi-discrete method for the approximation of the solution of stochastic differential equations, Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence, Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations, On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions, On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient, Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition, Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients, On tamed Milstein schemes of SDEs driven by Lévy noise, Strong convergence rates for nonlinearity-truncated Euler-type approximations of stochastic Ginzburg-Landau equations, On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients, First order strong convergence of an explicit scheme for the stochastic SIS epidemic model, Positivity preserving truncated Euler-Maruyama method for stochastic Lotka-Volterra competition model, On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients, Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations, On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps, Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations, The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps, Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps, On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations, Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation, Solving the Kolmogorov PDE by means of deep learning, Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients, A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise, Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient, Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients, The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations, Exponential moments for numerical approximations of stochastic partial differential equations, Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients, Simulation of Non-Lipschitz Stochastic Differential Equations Driven by $\alpha$-Stable Noise: A Method Based on Deterministic Homogenization, Higher order Langevin Monte Carlo algorithm, Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations, Stationary distribution, extinction, density function and periodicity of an \(n\)-species competition system with infinite distributed delays and nonlinear perturbations, Unadjusted Langevin algorithm for sampling a mixture of weakly smooth potentials, The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients, Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions, Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift, Well-posedness and tamed schemes for McKean-Vlasov equations with common noise, \(L^p\)-convergence rate of backward Euler schemes for monotone SDEs, An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
