Weak convergence of tamed exponential integrators for stochastic differential equations (Q6587344)

scientific article; zbMATH DE number 7896746

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English	Weak convergence of tamed exponential integrators for stochastic differential equations	scientific article; zbMATH DE number 7896746

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instance of

scholarly article

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title

Weak convergence of tamed exponential integrators for stochastic differential equations (English)

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14 August 2024

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zbMATH Keywords

SDEs

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exponential integrator

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geometric Brownian motion

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weak convergence

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tamed Euler-Maruyama methods

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multi-level Monte Carlo method

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MaRDI profile type

Publication

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cites work

An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium

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

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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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Weak convergence rates of splitting schemes for the stochastic Allen-Cahn equation

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Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise

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Second order PDE's in finite and infinite dimension

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A full-discrete exponential Euler approximation of the invariant measure for parabolic stochastic partial differential equations

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Runge-Kutta Lawson schemes for stochastic differential equations

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A new class of exponential integrators for SDEs with multiplicative noise

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Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation

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Multilevel Monte Carlo Methods

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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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A Milstein scheme for SPDEs

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Simulation of stochastic differential equations through the local linearization method. A comparative study

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Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise

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Monte Carlo versus multilevel Monte Carlo in weak error simulations of SPDE approximations

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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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An Introduction to Computational Stochastic PDEs

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A numerical scheme for stochastic PDEs with Gevrey regularity

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Q5429735

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The truncated Euler-Maruyama method for stochastic differential equations

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Weak exponential schemes for stochastic differential equations with additive noise

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A note on tamed Euler approximations

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Euler approximations with varying coefficients: the case of superlinearly growing 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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Weak approximation schemes for SDEs with super-linearly growing coefficients

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Identifiers

zbMATH Open document ID

1545.65036

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DOI

10.1007/s10543-024-01029-6

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6587344