The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
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Publication:6495877
DOI10.1007/S10444-024-10131-WMaRDI QIDQ6495877
Publication date: 2 May 2024
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
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- The partially truncated Euler-Maruyama method and its stability and boundedness
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- Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
- A note on the LaSalle-type theorems for stochastic differential delay equations
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- Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
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- An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
- A Stochastic Differential Equation SIS Epidemic Model
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
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