Strong convergence rate for multivalued stochastic differential equations via stochastic theta method

DOI10.1080/17442508.2017.1416117zbMATH Open1498.60247OpenAlexW2782026479MaRDI QIDQ5086445FDOQ5086445

Authors: Hua Zhang 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1416117

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zbMATH Keywords

stochastic theta methodmultivalued stochastic differential equationSkorohod problemstrong convergence rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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• Stochastic Theta Method for a Reflected Stochastic Differential Equation

Cited In (3)

• Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs
• Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations
• Large deviations for invariant measures of multivalued stochastic differential equations

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