An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
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Cites work
- A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications
- A note on tamed Euler approximations
- A note on the LaSalle-type theorems for stochastic differential delay equations
- A note on the partially truncated Euler-Maruyama method
- A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model
- Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
- Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
- Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Implicit Taylor methods for stiff stochastic differential equations
- Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
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- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
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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 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 the stopped Euler-Maruyama method for nonlinear stochastic differential equations
- Strong first order S-ROCK methods for stochastic differential equations
- Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
- The partially truncated Euler-Maruyama method and its stability and boundedness
- 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 Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients
- The truncated Milstein method for stochastic differential equations with commutative noise
Cited in
(3)- Modified Runge-Kutta method with convergence analysis for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
- Mean-square convergence of an explicit derivative-free truncated method for nonlinear SDEs covering the non-commutative noise case
- Convergence of a partially truncated Euler-Maruyama method for SDEs with super-linear piecewise continuous drift and Hölder diffusion coefficients
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