[PDF] Top 20 Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
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Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
... strong convergence theory of numerical methods for nonlinear stochastic differential equations (SDEs) without the global Lipschitz condition has become more and more ...classical ... See full document
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Equivalence of the mean square stability between the partially truncated Euler–Maruyama method and stochastic differential equations with super linear growing coefficients
... Actually, many interesting works have been devoted to (A), i.e., given the SDE is stable under certain conditions, some numerical method can reproduce such a stability. We just mention some of the works ... See full document
15
The truncated Euler–Maruyama method for stochastic differential equations
... EM method has its simple algebraic structure, cheap com- putational cost and acceptable convergence rate under the global Lipschitz condition, it has been attracting lots of attention ...EM ... See full document
22
The truncated Milstein method for stochastic differential equations with commutative noise
... the truncated Euler–Maruyama method developed in Mao (2015), we propose the truncated Milstein method in this ...strong convergence rate is proved to be close to 1 ... See full document
13
A note on the partially truncated Euler–Maruyama method
... new method lie in that the method can well preserve the asymptotic stability and boundedness of the underlying ...partially truncated EM method would be ... See full document
22
Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
... hybrid stochastic differential equations ...numerical method reproduce the characteristics of a test SDE?” One of the important characteristics of the test SDE is the ...the stability ... See full document
23
Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
... the drift-implicit schemes which achieve strong order γ ∈ {., }. Mao [] deals with the convergence of numerical solutions for variable delay differential equations driven by Pois- son random measure. In ... See full document
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Convergence and stability of the exponential Euler method for semi linear stochastic delay differential equations
... exponential Euler method. In Section , we obtain the convergence of the exponential Euler method to SLSDDEs under Lipschitz condition and the linear growth ...exponential ... See full document
19
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] ... See full document
33
Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
... 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 be ... See full document
28
Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
... for stochastic differential equations (SDEs) has recently received a more and more ...attention. Stability analysis of numerical methods for ordinary differential equations ... See full document
21
Stability of Exponential Euler Method for Linear Stochastic Delay Differential Equations
... of stochastic differential delay equations under the generalized Khasminskii-type conditions, Applied Mathematics and Computation, 217(2011), ...Ding, Convergence and stability of ... See full document
6
Analysis of stability for stochastic delay integro differential equations
... square stability of a numerical solution under the same step-size as Case ...backward Euler method achieves superiority over the Euler– Maruyama method in terms of mean-square ... See full document
13
Stability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
... Mean-square stability analysis of numerical solution for system of stochastic differen- tial equations (SDEs) is one of the key problems in stochastic analysis (see [8], [17] and ...on ... See full document
13
Stability of numerical method for semi linear stochastic pantograph differential equations
... of stochastic pantograph differential equations under the linear growth conditions, and the backward Euler-Maruyama method can reproduce almost surely exponential sta- bility for highly ... See full document
11
Numerical solution of stochastic state dependent delay differential equations: convergence and stability
... strong convergence and the mean-square stability of the split-step backward Euler method to linear SDDEs with constant lag and took the stepsize as a multiplier of ...-Milstein method ... See full document
34
Convergence and stability of the compensated split step θ method for stochastic differential equations with jumps
... Recently, stochastic differential equations with jumps (SDEwJs) are becoming increas- ingly used to model real-world phenomena in different fields, such as economics, finance, biology, and ...the ... See full document
19
Stochastic Runge-Kutta method for stochastic delay differential equations
... this method in approximating the solution of ...of stochastic Taylor expansions, up to ...the Euler– Maruyama and Milstein schemes had been proposed to apply them in practice or to study their ... See full document
30
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
... The rest of the paper is arranged as follows. In section 2, we introduce the monotone condition under which we prove the existence of a unique solution to equation (1.1), along with appropriate bounds that will be needed ... See full document
21
Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... The rest of the paper is arranged as follows. In section 2, we introduce the monotone condition under which we prove the existence of a unique solution to equation (1.1), along with appropriate bounds that will be needed ... See full document
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