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

DOI10.1016/J.AMC.2013.11.100MaRDI QIDQ529908zbMATHOpenAlexFDO

Authors Xiaofeng Zong, Fuke Wu, Chengming Huang

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

zbMATH Keywords

stochastic differential equationsstrong convergencemean square stabilitysemi-tamed Euler scheme

Mathematics Subject Classification ID

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

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• The random attractor of the stochastic Lorenz system
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Cited in

(41)

• Strong convergence and stability of the semi-tamed and tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
• Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• 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
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
• 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
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
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• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
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• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

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