Stochastic theta methods for random periodic solution of stochastic differential equations under non-globally Lipschitz conditions
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11075-024-01892-y.pdf
Reference26 articles.
1. Kloeden, P.E., Platen, E.: Numerical Solution of Stochastic Differential Equations. Applications of Mathematics (New York), vol. 23, p. 632. Springer, Berlin (1992). https://doi.org/10.1007/978-3-662-12616-5
2. Milstein, G.N., Tretyakov, M.V.: Stochastic Numerics for Mathematical Physics, 2nd edn. Scientific Computation, p. 736. Springer, Cham (2021). https://doi.org/10.1007/978-3-030-82040-4
3. Higham, D.J., Mao, X., Stuart, A.M.: Strong convergence of Euler-type methods for nonlinear stochastic differential equations. SIAM J. Numer. Anal. 40(3), 1041–1063 (2002). https://doi.org/10.1137/S0036142901389530
4. Hutzenthaler, M., Jentzen, A., Kloeden, P.E.: Strong and weak divergence in finite time of Euler’s method for stochastic differential equations with non-globally Lipschitz continuous coefficients. Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 467(2130), 1563–1576 (2011) https://doi.org/10.1098/rspa.2010.0348
5. Hutzenthaler, M., Jentzen, A., Kloeden, P.E.: Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. Ann. Appl. Probab. 22(4), 1611–1641 (2012). https://doi.org/10.1214/11-AAP803
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