Two-sided error estimates for the stochastic theta method

DOI10.3934/dcdsb.2010.14.389zbMath1195.65006OpenAlexW2019645276MaRDI QIDQ1956538

Raphael Kruse, Wolf-Jürgen Beyn

Publication date: 22 September 2010

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2010.14.389

zbMATH Keywords

consistencybistabilitystochastic theta methodSODEtwo-sided error estimatestochastic Spijker norm

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to equations with nonlinear operators (65J15) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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Convergence of a Robust Deep FBSDE Method for Stochastic Control ⋮ Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients ⋮ Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition ⋮ Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE ⋮ Truncated Milstein method for non-autonomous stochastic differential equations and its modification ⋮ A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations ⋮ Characterization of bistability for stochastic multistep methods

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