Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations

Author:

Kelly Cónall,Rodkina Alexandra,Rapoo Eeva Maria

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference23 articles.

1. Almost sure stability of the Euler–Maruyama method with random variable stepsize for stochastic differential equations;Liu;Numer. Algorithms,2017

2. On the use of adaptive meshes to counter overshoot in solutions of discretised nonlinear stochastic differential equations;Appleby;Int. J. Difference Equ.,2010

3. Preserving positivity in solutions of discretised stochastic differential equations;Appleby;Appl. Math. Comput.,2010

4. Strong and weak divergence in finite time of Euler’s method for stochastic differential equations with non-globally Lipschitz continuous coefficients;Hutzenthaler;Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci.,2011

5. Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients;Hutzenthaler;Ann. Appl. Probab.,2012

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