Stability of split-step one-leg theta methods for stochastic differential equations

MaRDI QIDQ4901861zbMATH OpenFDO

Authors Qiyong Li, Siqing Gan

Publication date 24 January 2013

zbMATH Keywords

mean square stabilitynonlinear stabilityone-sided Lipschitz conditionsplit-step one-leg theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(11)

• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Mean-square stability of split-step theta Milstein methods for stochastic differential equations
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• Modifying the split-step -method with harmonic-mean term for stochastic differential equations
• Mean-square stability of two classes of theta Milstein methods for nonlinear stochastic differential equations
• Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
• Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
• Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients

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