Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
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Cites work
- A transfer principle for multivalued stochastic differential equations
- Approximating and Simulating Multivalued Stochastic Differential Equations
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
- General large deviations and functional iterated logarithm law for multivalued stochastic differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 3514556 (Why is no real title available?)
- Large deviations for multivalued stochastic differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Multivalued Skorohod problem
- Multivalued stochastic differential equations: Convergence of a numerical scheme
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- On regularity of invariant measures of multivalued stochastic differential equations
- On the moments of the modulus of continuity of Itô processes
- Penalization schemes for multi-valued stochastic differential equations
- Penalization schemes for reflecting stochastic differential equations
- Projection scheme for stochastic differential equations with convex constraints.
- Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
- Skorohod problem and multivalued stochastic evolution equations in Banach spaces
- Stochastic differential equations with reflecting boundary condition in convex regions
- Stochastic differential equations with reflecting boundary conditions
- Stochastic Theta Method for a Reflected Stochastic Differential Equation
- Support theorem for stochastic variational inequalities
- The optimal control problem associated with multi-valued stochastic differential equations with jumps
- Uniform large deviations for multivalued stochastic differential equations with Poisson jumps
- Weak solutions and optimal control for multivalued stochastic differential equations
Cited in
(4)- 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
- Theoretical analysis of a finite-volume scheme for a stochastic Allen-Cahn problem with constraint
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