Convergence of composite Euler method for solving stochastic differential equations

DOI10.15926/J.CNKI.ISSN1672-6871.2019.02.017MaRDI QIDQ5194232zbMATH OpenFDO

Authors Qian Jiang, Cai-Xia Wang, Yindi Zhang

Publication date 20 September 2019

zbMATH Keywords

stochastic differential equationsconvergence orderglobal Lipschitz conditionlinear growth conditioncomposite Euler method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
• The composite Euler method for stiff stochastic differential equations
• Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments
• Convergence of the Euler scheme for a class of stochastic differential equations

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