Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

DOI10.1016/J.AMC.2013.11.100zbMATH Open1364.65020OpenAlexW2048332708MaRDI QIDQ529908FDOQ529908

Xiaofeng Zong, Chengming Huang, Fuke Wu

Publication date: 9 June 2017

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.100

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zbMATH Keywords

stochastic differential equationsstrong convergencemean square stabilitysemi-tamed Euler scheme

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (38)

• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
• The truncated Milstein method for stochastic differential equations with commutative noise
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations
• The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions
• Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms
• Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
• Title not available (Why is that?)
• Strong convergence of the tamed Euler-Maruyama method for stochastic singular initial value problems with non-globally Lipschitz continuous coefficients
• Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
• Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• On numerical methods to second-order singular initial value problems with additive white noise
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• Book review of: A. Broise-Alamichel et al., Equidistribution and counting under equilibrium states in negative curvature and trees. Applications to non-Archimedean Diophantine approximation
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
• Two-step Maruyama schemes for nonlinear stochastic differential delay equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions

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