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

DOI10.1016/j.apnum.2019.11.014zbMath1441.65013OpenAlexW2991424913WikidataQ126663904 ScholiaQ126663904MaRDI QIDQ2301441

Youzi He, Xiao-Jie Wang, Si-qing Gan

Publication date: 24 February 2020

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.11.014

zbMATH Keywords

stochastic differential equationstrong convergencestochastic Runge-Kutta methodcommutative noisesuper-linearly growing coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

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