Weak approximation schemes for SDEs with super-linearly growing coefficients
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Cites work
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- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Applied stochastic analysis
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Book review of: L. Gawarecki and V. Mandrekar, Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations
- Discretising the Heston model: an analysis of the weak convergence rate
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- Expansion of the global error for numerical schemes solving stochastic differential equations
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- High weak order methods for stochastic differential equations based on modified equations
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- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
- Numerical methods for stochastic partial differential equations with white noise
- On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
- Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
- Second order PDE's in finite and infinite dimension
- Stochastic C-stability and B-consistency of explicit and implicit Euler-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 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 rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
- The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- The truncated Euler-Maruyama method for stochastic differential equations
- Weak second-order explicit stabilized methods for stiff stochastic differential equations
Cited in
(4)- Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion
- Weak convergence of tamed exponential integrators for stochastic differential equations
- Regularity preservation in Kolmogorov equations for non-Lipschitz coefficients under Lyapunov conditions
- Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients II finitely many bounded moments and higher-order schemes
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