The partially truncated Euler-Maruyama method and its stability and boundedness (Q512309)

scientific article; zbMATH DE number 6688709

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English	The partially truncated Euler-Maruyama method and its stability and boundedness	scientific article; zbMATH DE number 6688709

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instance of

scholarly article

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title

The partially truncated Euler-Maruyama method and its stability and boundedness (English)

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Applied Numerical Mathematics

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publication date

24 February 2017

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zbMATH Keywords

stochastic differential equation

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local Lipschitz condition

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Khasminskii-type condition

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partially truncated Euler-Maruyama method

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stability

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boundedness

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.apnum.2017.01.010

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cites work

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

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Numerical approximation of irregular SDEs via Skorokhod embeddings

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Q4463035

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Almost sure asymptotic stability analysis of the <i>θ</i>-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

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A note on Euler's approximations

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

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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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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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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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Stability of regime-switching stochastic differential equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Asymptotic moment boundedness of the numerical solutions of stochastic differential equations

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Q3999821

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Robustness of exponential stability of stochastic differential delay equations

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Q5429735

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Almost Sure Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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The truncated Euler-Maruyama method for stochastic differential equations

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

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Stochastic Differential Equations with Markovian Switching

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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On the pathwise approximation of stochastic differential equations

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Khasminskii-type theorems for stochastic functional differential equations

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$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs

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

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Identifiers

zbMATH Open document ID

1358.65008

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Mathematics Subject Classification ID

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10.1016/J.APNUM.2017.01.010

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Sitelinks

Mathematics(1 entry)

mardi Publication:512309