Weak convergence of tamed exponential integrators for stochastic differential equations
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Publication:6587344
weak convergencegeometric Brownian motionexponential integratormulti-level Monte Carlo methodSDEstamed Euler-Maruyama methods
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
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- A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
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- A note on tamed Euler approximations
- A numerical scheme for stochastic PDEs with Gevrey regularity
- An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium
- An introduction to computational stochastic PDEs
- Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme
- Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in \(p\)th moment and stability
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- Second order PDE's in finite and infinite dimension
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- Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
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- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- The truncated Euler-Maruyama method for stochastic differential equations
- Weak approximation schemes for SDEs with super-linearly growing coefficients
- Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
- Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation
- Weak exponential schemes for stochastic differential equations with additive noise
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