Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations (Q6608472)

scientific article; zbMATH DE number 7916309

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English	Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations	scientific article; zbMATH DE number 7916309

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Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations (English)

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19 September 2024

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Publication

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cites work

Time fractional equations and probabilistic representation

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Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay

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Strong convergence of the split-step theta method for neutral stochastic delay differential equations

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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

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Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators

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Option pricing in subdiffusive Bachelier model

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

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Q4369402

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Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations

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Identifiers

zbMATH Open document ID

1548.65045

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DOI

10.1080/00036811.2023.2262734

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:6608472