Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments

DOI10.4208/nmtma.OA-2019-0108zbMath1488.65011WikidataQ115209290 ScholiaQ115209290MaRDI QIDQ5153426

Yulan Lu, Yidan Geng, Minghui Song, Ming-Zhu Liu

Publication date: 29 September 2021

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationspiecewise continuous argumentconvergence and stabilitylocal Lipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments

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