scientific article; zbMATH DE number 6746774

DOI10.13482/J.ISSN1001-7011.2015.11.290MaRDI QIDQ5277150zbMATH OpenFDO

Authors Feng Yin, Pengfei Wang

Publication date 14 July 2017

Full work available at URL https://doi.org/10.13482/J.ISSN1001-7011.2015.11.290

zbMATH Keywords

composite Euler methodconvergence orderglobal Lipschitz conditionnonlinear stochastic differential equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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• Convergence of the Euler scheme for a class of stochastic differential equations
• Mean square convergence of the composite Euler method for a linear stochastic differential delay equation
• Convergence of the Euler scheme for stochastic functional partial differential equations
• Convergence of the composite Heun method for solving stochastic differential equations
• Convergence of semi-implicit Euler method for nonlinear stochastic delay differential equations
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

Cited in

(5)

• Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments
• Convergence of the weighted format for non-linearity stochastic differential equation
• Convergence of composite Euler method for solving stochastic differential equations
• Convergence of the composite Heun method for solving stochastic differential equations
• Euler splitting method for solving nonlinear composite stiff impulsive differential equations

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