Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (Q2154871)

scientific article

Language	Label	Description	Also known as
English	Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients	scientific article

Statements

instance of

scholarly article

0 references

title

Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (English)

0 references

published in

Applied Numerical Mathematics

0 references

publication date

15 July 2022

0 references

zbMATH Keywords

stochastic differential equations

0 references

non-globally Lipschitz coefficients

0 references

split-step theta Milstein methods

0 references

strong convergence rates

0 references

0 references

0 references

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.apnum.2022.05.004

0 references

cites work

Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

0 references

Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

0 references

Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

0 references

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

0 references

Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

0 references

Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients

0 references

The truncated Milstein method for stochastic differential equations with commutative noise

0 references

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

0 references

Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

0 references

Q4866235

0 references

Exponential mean square stability of numerical methods for systems of stochastic differential equations

0 references

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

0 references

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

0 references

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

0 references

Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

0 references

Adaptive time-stepping strategies for nonlinear stochastic systems

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

0 references

Q5429735

0 references

The truncated Euler-Maruyama method for stochastic differential equations

0 references

Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

0 references

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

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

0 references

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

0 references

Probabilistic Methods for the Incompressible Navier–Stokes Equations With Space Periodic Conditions

0 references

A note on tamed Euler approximations

0 references

Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

0 references

A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

0 references

The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

0 references

High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients

0 references

Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

0 references

Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

0 references

Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

0 references

Identifiers

zbMATH Open document ID

1492.65028

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

10.1016/J.APNUM.2022.05.004

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2154871