Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients-Reference-Cited by-同舟云学术

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Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

Published:2022-02 Issue: Volume:414 Page:126680
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Liu Yulong,Niu Yuanling,Cheng Xiujun

Funder

National Natural Science Foundation of China

China Postdoctoral Science Foundation

Natural Science Foundation of Hunan Province

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference23 articles.

1. Stochastic Differential Equations and their Applications;Mao,1997

2. Delay tolerance for stable stochastic systems and extensions;Zong;IEEE Trans. Automat. Contr.,2021

3. Continuous Markov processes and stochastic equations;Maruyama;Rend. Circolo. Math. Palermo.,1955

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

5. Numerical Integration of Stochastic Differential Equations;Milstein,1995

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1. A brief review on stability investigations of numerical methods for systems of stochastic differential equations;Networks and Heterogeneous Media;2024

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