An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients (Q6578280)

scientific article; zbMATH DE number 7886682

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English	An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients	scientific article; zbMATH DE number 7886682

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instance of

scholarly article

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title

An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients (English)

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author

Hassan Ranjbar

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published in

Journal of Applied Mathematics and Computing

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publication date

25 July 2024

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zbMATH Keywords

stochastic ordinary differential equations

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locally Lipschitz coefficients

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exponential split-step double balanced \(\vartheta\) Milstein scheme

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exponential mean square stability

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mean square contraction

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An efficient spectral method for the numerical solution to some classes of stochastic differential equations

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Q5155921

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Q4004325

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Solving the stochastic differential systems with modified split-step Euler-Maruyama method

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Q5859685

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Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach

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

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Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

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

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

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients

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The truncated Euler-Maruyama method for stochastic differential equations

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Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient

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Truncated Milstein method for non-autonomous stochastic differential equations and its modification

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Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients

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The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients

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

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Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms

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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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The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions

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Split-step Milstein methods for multi-channel stiff stochastic differential systems

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An error corrected Euler-Maruyama method for stiff stochastic differential equations

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Improving split-step forward methods by ODE solver for stiff stochastic differential equations

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An improved Milstein method for stiff stochastic differential equations

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Study on split-step Rosenbrock type method for stiff stochastic differential systems

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

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

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

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B-convergence of split-step one-leg theta methods for stochastic differential equations

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The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation

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

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Balanced Implicit Methods for Stiff Stochastic Systems

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Balanced Milstein Methods for Ordinary SDEs

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Split-step backward balanced Milstein methods for stiff stochastic systems

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Modified stochastic theta methods by ODEs solvers for stochastic differential equations

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\(A\)-stability and stochastic mean-square stability

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

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

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Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson

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Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations

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

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Identifiers

zbMATH Open document ID

1543.65017

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DOI

10.1007/s12190-024-01989-6

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6578280