backward Euler–Maruyama method
Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... a backward Euler-Maruyama (BEM) method strongly converges to the solution of the SDE with one-sided Lipschitz drift and linearly growing diffusion ...
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Numerical simulation of a linear stochastic oscillator with additive noise
... the Euler–Maruyama method does not maintain the linear growth property but, rather, produces a second mo- ment that increases exponentially with time (Theorem ...implicit, backward ...
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Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
... the Backward Euler-Maruyama method, the linear growth condition on the drift coefficient is replaced by the one-sided Lipschitz condition and the stationary distribution of many more SDEs can ...
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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
... tamed Euler–Maruyama (EM) method, the tamed Milstein method, the stopped EM, the backward EM, the backward forward EM, ...explicit method in [23], called the truncated EM ...
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Analysis of stability for stochastic delay integro differential equations
... split-step backward Euler method achieves superiority over the Euler– Maruyama method in terms of mean-square ...merical method for nonlinear stochastic delay ...
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Stability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
... numerical method for neutral stochastic differential systems is relatively scarce due to their technical difficulties, which is the main topic of the present ...the backward Euler-Maruyama scheme ...
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Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
... Let us now return to the SDE (3.1). In Section 3 we have shown that the EM method cannot reproduce the almost sure exponential stability of the SDE. However, our the- ory established in the previous sections shows ...
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Exponential stability of the Euler-Maruyama method for neutral stochastic functional differential equations with jumps
... the Euler- Maruyama (EM) method and the backward Euler-Maruyama (BEM) method using the semi-martingale convergence theorem for ...EM method for SFDEs ...EM ...
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The truncated Euler–Maruyama method for stochastic differential equations
... tamed Euler–Maruyama (EM) method, the tamed Milstein method, the stopped EM, the backward EM, the backward forward EM, ...explicit method, called the truncated EM ...
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Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations
... If there is no linear growth condition (4.5) on f , for SDDEs, [35] shows that the backward EM approximations may reproduce the almost sure exponential stability. But for SFDEs, we need to give conditions which ...
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Solving a Large-Scale Intertemporal Applied General Equilibrium Model
... solution method described in this paper has been successfully employed to solve the intertemporal CGE model described by Malakellis ...15 backward-looking mechanisms modelled; again, 14 of these relate to ...
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Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
... This paper is constructed as follows. Notations, assumptions and some existing results about the truncated EM method and the MLMC method are presented in Section 2. Section 3 contains the main result on the ...
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Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
... dx(t) = µ(r(t))x(t)dt + σ(r(t))x(t)dB(t), t ≥ 0 (2.1) with initial data x(0) = x 0 ∈ R and r(0) = r 0 ∈ S . Here, to avoid complicated notations, we let B(t) be a scalar Brownian motion while µ and σ are mappings from S ...
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Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
... 12 4 5 6 7 8 9 10 13 14 15 16 17 Convergence analysis of the EM approximate solutions In this section, we will study the convergence of the EM approximate solutions for hybrid SDEs with [r] ...
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Analysis and application of the discontinuous Galerkin method to the RLW equation
... We are concerned with a proposal of a sufficiently robust, accurate and efficient numeri- cal method for the solution of scalar nonlinear partial differential equations. As a model problem, we consider a regularized ...
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Dissipativity of the backward Euler method for nonlinear Volterra functional differential equations in Banach space
... the backward Euler method for VFDEs is ...the method can inherit the dissipativity of the underlying ...the backward Euler method and that of the underlying system is ...
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Analysis on exponential stability of hybrid pantograph stochastic differential equations with highly nonlinear coefficients
... Miloˇsevi´c, Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approx[r] ...
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Razumikhin type theorem and mean square asymptotic behavior of the backward Euler method for neutral stochastic pantograph equations
... Neutral stochastic functional differential equations (NSFDEs) can be used to model vari- ous phenomena and processes in the field of the chemical-engineering and aero elasticity. Stability analysis of NSFDEs has attracted ...
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Mean exit times and the multilevel Monte Carlo method
... The continuous-time extension (1.3) takes the form of a step process, so ν corresponds to the first grid point where the numerical solution exits the region of interest, or T if this is smaller. A natural alternative is ...
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Space and time reconstructions in a posteriori analysis of evolution problems
... The above step is very delicate. Its completion requires certain assumptions/restrictions on the perturbation R and on the closeness of ˆ U to u, and the right choice of the PDE stability method used. On the other ...
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