Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients (Q6540040)

scientific article; zbMATH DE number 7849568

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English	Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients	scientific article; zbMATH DE number 7849568

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instance of

scholarly article

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title

Linear implicit approximations of invariant measures of semi-linear SDEs with non-globally Lipschitz coefficients (English)

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Journal of Complexity

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publication date

15 May 2024

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zbMATH Keywords

stochastic differential equations

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invariant measure

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weak convergence

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projected method

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Kolmogorov equations

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MaRDI profile type

Publication

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cites work

High Order Numerical Approximation of the Invariant Measure of Ergodic SDEs

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

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

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Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise

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Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme

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Second order PDE's in finite and infinite dimension

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Approximation of invariant measure for damped stochastic nonlinear Schrödinger equation via an ergodic numerical scheme

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Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation

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An introduction to infinite-dimensional analysis

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Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift

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

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Invariant measures for stochastic nonlinear Schrödinger equations. Numerical approximations and symplectic structures

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

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Q4004325

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Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability

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The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

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Strong approximation of monotone stochastic partial differential equations driven by multiplicative noise

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Nonasymptotic bounds for sampling algorithms without log-concavity

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

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

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Non-asymptotic convergence bounds for modified tamed unadjusted Langevin algorithm in non-convex setting

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

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Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients

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

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

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Identifiers

DOI

10.1016/j.jco.2024.101842

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6540040