Asymptotic moment boundedness of the numerical solutions of stochastic differential equations-Reference-Cited by-同舟云学术

Asymptotic moment boundedness of the numerical solutions of stochastic differential equations

Published:2013-10 Issue: Volume:251 Page:22-32
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Liu Wei,Mao Xuerong

Funder

the Royal Society of Edinburgh

the Scottish Government

the University of Strathclyde

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference23 articles.

1. Stochastic Differential Equations and Applications;Mao,2007

2. M. Hutzenthaler, A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients, Preprint. arXiv:1203.5809v1.

3. Numerical Solution of Stochastic Differential Equations;Kloeden,1992

4. Stochastic Numerics for Mathematical Physics;Milstein,2004

5. Mean-square and asymptotic stability of the stochastic theta method;Higham;SIAM J. Numer. Anal.,2000

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