The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations

DOI10.1155/2012/350407zbMATH Open1253.65009OpenAlexW2038417580WikidataQ58696377 ScholiaQ58696377MaRDI QIDQ696047FDOQ696047

Authors: Chunmei Shi, Yu Xiao, C. P. Zhang 

Publication date: 18 December 2012

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/350407

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zbMATH Keywords

numerical approximationexponential Euler methodsemilinear stochastic differential equations

Mathematics Subject Classification ID

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

Cites Work

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• Generalized Runge-Kutta Processes for Stable Systems with Large Lipschitz Constants
• Approximating the coefficients in semilinear stochastic partial differential equations
• An analysis of stability of Milstein method for stochastic differential equations with delay

Cited In (13)

• Contraction and convergence rates for discretized kinetic Langevin dynamics
• The convergence of exponential Euler method for weighted fractional stochastic equations
• Stability issues for selected stochastic evolutionary problems: a review
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Stability of numerical method for semi-linear stochastic pantograph differential equations
• Title not available (Why is that?)
• The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\)
• Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
• On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations
• Research on cooperative innovation behavior of industrial cluster based on subject adaptability
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Exponential integrators for stochastic Maxwell's equations driven by Itô noise

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