Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

DOI10.4208/EAJAM.161121.090722MaRDI QIDQ6165526zbMATH OpenOpenAlexFDO

Authors Xiao-Juan Wu, Siqing Gan

Publication date 5 July 2023

Published in East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/eajam.161121.090722

zbMATH Keywords

non-globally Lipschitz coefficientsplit-step theta methodstochastic differential equationstrong convergence rate

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• scientific article; zbMATH DE number 7113305

Cites work

• A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
• A note on tamed Euler approximations
• Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
• Adaptive time-stepping strategies for nonlinear stochastic systems
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 850216 (Why is no real title available?)
• Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise

Cited in

(15)

• Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs
• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• Strong convergence of semi-implicit split-step methods for SDE with locally Lipschitz coefficients
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
• An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
• Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
• Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
• Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
• A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis

This page was built for publication: Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6165526)