Convergence of the Euler-Maruyama method for stochastic differential equations driven by \(G\)-Brownian motion

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic approximation (62L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Lyapunov-type conditions and stochastic differential equations driven by \(G\)-Brownian motion
Numerical simulations for \(G\)-Brownian motion
Uniqueness of the representation for \(G\)-martingales with finite variation
Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
The truncated Euler-Maruyama method for stochastic differential equations
Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
Martingale representation theorem for the \(G\)-expectation
Stopping times and related Itô's calculus with \(G\)-Brownian motion
Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
Stability of numerical solution to pantograph stochastic functional differential equations
Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method
Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
Nonlinear Expectations and Stochastic Calculus under Uncertainty
A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability

This page was built for publication: Convergence of the Euler-Maruyama method for stochastic differential equations driven by \(G\)-Brownian motion