Convergence and stability of the canonical EM splitting method for nonautonomous stiff stochastic differential equations

DOI10.12286/JSSX.J2020-0748MaRDI QIDQ5038019FDOQ5038019

Authors: Yanyan Yu, Xinjie Dai, Aiguo Xiao 

Publication date: 29 September 2022

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zbMATH Keywords

convergencestabilitycanonical Euler-Maruyama splitting methodnon-autonomous stiff stochastic differential equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• A note on the LaSalle-type theorems for stochastic differential delay equations
• Stochastic processes in physics and chemistry.
• Almost sure exponential stability of neutral stochastic differential difference equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• A review on stochastic differential equations for applications in hydrology
• LaSalle-type theorems for stochastic differential delay equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Balanced Milstein Methods for Ordinary SDEs
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• Approximate Integration of Stochastic Differential Equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• Continuous Markov processes and stochastic equations
• Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Some issues in discrete approximate solution for stochastic differential equations
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• Almost sure exponential stability in the numerical simulation of stochastic differential equations
• Two-stage stochastic Runge-Kutta methods for stochastic differential equations
• \(B\)-convergence theory of Runge-Kutta methods for stiff Volterra functional differential equations with infinite integration interval
• Topology
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Canonical Euler splitting method for nonlinear composite stiff evolution equations
• Uniqueness of twisted linear periods and twisted Shalika periods
• The truncated Milstein method for stochastic differential equations with commutative noise

Uses Software

• RODAS

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