Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments
DOI10.4208/nmtma.OA-2019-0108zbMath1488.65011WikidataQ115209290 ScholiaQ115209290MaRDI QIDQ5153426
Yulan Lu, Yidan Geng, Minghui Song, Ming-Zhu Liu
Publication date: 29 September 2021
Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)
stochastic differential equationspiecewise continuous argumentconvergence and stabilitylocal Lipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama method
Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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