Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients

DOI10.1080/00207160.2021.1960984zbMath1499.65014OpenAlexW3185729164WikidataQ115314146 ScholiaQ115314146MaRDI QIDQ5079436

Rui Li, Wei Zhang

Publication date: 27 May 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2021.1960984

zbMATH Keywords

stochastic differential equationconvergence and stabilitylocally Lipschitz conditionsemi-balanced Euler methodtruncated-balanced Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)

Cites Work

• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
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