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Divergence of the backward Euler method for ordinary stochastic differential equations (Q2009062)

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scientific article; zbMATH DE number 7137017

Language	Label	Description	Also known as
English	Divergence of the backward Euler method for ordinary stochastic differential equations	scientific article; zbMATH DE number 7137017

Statements

scholarly article

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Divergence of the backward Euler method for ordinary stochastic differential equations (English)

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Numerical Algorithms

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publication date

27 November 2019

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zbMATH Keywords

ordinary stochastic differential equations

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backward Euler method

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strong \(L^p\)-divergence

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super-linear growth conditions

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one-sided Lipschitz condition

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MaRDI profile type

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full work available at URL

https://doi.org/10.1007/s11075-019-00661-6

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Stochastic Differential Equations with Markovian Switching

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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

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Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

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Convergence of the stochastic Euler scheme for locally Lipschitz coefficients

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients

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Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching

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Almost sure exponential stability of numerical solutions for stochastic delay differential equations

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Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Exponential convergence of Langevin distributions and their discrete approximations

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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

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Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S11075-019-00661-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:2009062

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