Numerical and mathematical analysis of blow-up problems for a stochastic differential equation

DOI10.3934/dcdss.2020391zbMath1479.60114OpenAlexW3034814886MaRDI QIDQ830011

Tetsuya Ishiwata, Young Chol Yang

Publication date: 7 May 2021

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2020391

zbMATH Keywords

blow-upblow-up timeEuler-Maruyama schemeSDEadaptive time step control

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (1)

Positivity-preserving numerical schemes for stochastic differential equations

Cites Work

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• A study of the recursion \(y_{n+1}=y_ n+\tau y^ m_ n\)
• Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
• Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
• Stabilization and Destabilization of Nonlinear Differential Equations by Noise
• Finite-difference modeling à la Mickens of the distribution of the stopping time in a stochastic differential equation
• Numerical Analysis of Stochastic Differential Equations with Explosions

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