Numerical methods for some nonlinear stochastic differential equations

DOI10.1016/j.amc.2004.08.015zbMath1084.65010OpenAlexW2044477845MaRDI QIDQ2572654

Khairia El-Said El-Nadi, Mahmoud M. El-Borai, Hamdy M. Ahmed, Osama L. Moustafa

Publication date: 4 November 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2004.08.015

zbMATH Keywords

convergencemoment boundsEuler-Maruyama methodsystem of nonlinear stochastic partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• On the initial value problem for a partial differential equation with operator coefficients
• A note on Euler's approximations
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• Existence of strong solutions for Itô's stochastic equations via approximations
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Convergence of Numerical Schemes for Stochastic Differential Equations
• Parameter identification for an abstract Cauchy problem by quasilinearization
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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