Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
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Cites work
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- A note on tamed Euler approximations
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- Higher-order implicit strong numerical schemes for stochastic differential equations
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- On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
- On the moments of the modulus of continuity of Itô processes
- On the uniqueness of solutions of stochastic differential equations
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
Cited in
(11)- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
- Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error
- Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
- Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
- A note on tamed Euler approximations
- A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
- The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
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