Strong convergence of the split-step one-leg methods for stochastic differential equations

zbMATH Open1424.65006MaRDI QIDQ4625486FDOQ4625486

Authors: Wei Zhang, Wenqiang Wang 

Publication date: 22 February 2019

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• Split-step \({\theta}\)-method for stochastic delay differential equations
• Strong convergence of the split-step \(\theta\) method for neutral stochastic delay differential equations

zbMATH Keywords

strong convergenceone-sided Lipschitz conditionstochastic delay differential equationssplit-step one-leg \(\theta\) methods

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (11)

• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
• Split-step forward Euler methods for solving stochastic delay differential equations
• Strong convergence of the improved split-step one-leg \(\theta\) methods for stochastic differential equations
• Strong Convergence for Split-Step Methods in Stochastic Jump Kinetics
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Title not available (Why is that?)
• Strong convergence of the split-step \(\theta\) method for neutral stochastic delay differential equations
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps

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