Convergence rates of the Semi-Discrete method for stochastic differential equations

zbMath1449.60104arXiv2001.07483MaRDI QIDQ3305901

Nikolaos Halidias, Ioannis S. Stamatiou

Publication date: 12 August 2020

Full work available at URL: https://arxiv.org/abs/2001.07483

zbMATH Keywords

semi-discrete methodexplicit numerical schemeboundary preserving numerical algorithmnon-linear stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to equations with nonlinear operators (65J15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

A note on the asymptotic stability of the semi-discrete method for stochastic differential equations ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ The semi-discrete method for the approximation of the solution of stochastic differential equations ⋮ Pathwise stability and positivity of semi-discrete approximations of the solution of nonlinear stochastic differential equations

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