Two-sided error estimates for the stochastic theta method

DOI10.3934/DCDSB.2010.14.389MaRDI QIDQ1956538zbMATH OpenOpenAlexFDO

Authors Wolf-Jürgen Beyn, Raphael Kruse

Publication date 22 September 2010

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2010.14.389

zbMATH Keywords

bistabilityconsistencySODEstochastic Spijker normstochastic theta methodtwo-sided error estimate

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solutions to equations with nonlinear operators (65J15) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

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• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
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• A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations
• Convergence of a Robust Deep FBSDE Method for Stochastic Control
• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
• Stochastic theta methods for free stochastic differential equations
• Characterization of bistability for stochastic multistep methods

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