Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations

DOI10.1007/s12190-018-1206-8zbMath1453.65025OpenAlexW2884274661WikidataQ129510773 ScholiaQ129510773MaRDI QIDQ2318304

Haining Wen

Publication date: 14 August 2019

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-018-1206-8

zbMATH Keywords

stabilitystochastic differential equationsconvergence ratefull-implicitKhasminskii-type

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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