Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients
DOI10.1186/s13662-018-1818-1zbMath1448.60122OpenAlexW2894737569MaRDI QIDQ1716063
Yanan Jiang, Zequan Huang, Wei Liu
Publication date: 29 January 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1818-1
stochastic differential equationsmean square exponential stabilitypartially truncated Euler-Maruyama methodsuper-linear growing coefficients
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Cites Work
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- The truncated Euler-Maruyama method for stochastic differential equations
- The partially truncated Euler-Maruyama method and its stability and boundedness
- Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
- A note on tamed Euler approximations
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- Numerical solution of stochastic differential equations with jumps in finance
- Strong convergence rates of modified truncated EM method for stochastic differential equations
- Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
- A note on the partially truncated Euler-Maruyama method
- Stochastic ordinary differential equations in applied and computational mathematics
- Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
- A Stochastic Differential Equation SIS Epidemic Model
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Modeling with Itô Stochastic Differential Equations
- Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Stochastic stability of a class of unbounded delay neutral stochastic differential equations with general decay rate
- An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
- Unnamed Item
- Unnamed Item
- Unnamed Item
