Divergence of the backward Euler method for ordinary stochastic differential equations
type: Item
instance of: scholarly article
title: Divergence of the backward Euler method for ordinary stochastic differential equations
zbMATH Open document ID: 1433.60039
author: M. Milosevic
published in: Numerical Algorithms
publication date: 2019-11-27T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 7137017
zbMATH Keywords: ordinary stochastic differential equations
zbMATH Keywords: backward Euler method
zbMATH Keywords: strong \(L^p\)-divergence
zbMATH Keywords: super-linear growth conditions
zbMATH Keywords: one-sided Lipschitz condition
MaRDI profile type: Publication
full work available at URL: s11075-019-00661-6
OpenAlex ID: W2911214857
cites work: Q4004325
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cites work: Almost sure exponential stability of numerical solutions for stochastic delay differential equations
cites work: Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
cites work: Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
cites work: Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
cites work: Exponential convergence of Langevin distributions and their discrete approximations
cites work: Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
cites work: Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
cites work: Q4369402
Wikidata QID: Q128606704
DOI: 10.1007/S11075-019-00661-6
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description: scientific article; zbMATH DE number 7137017