Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2017.12.025 ◽

2018 ◽

Vol 336 ◽

pp. 8-29 ◽

Author(s):

Xiaofeng Zong ◽

Fuke Wu ◽

Guiping Xu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Convergence And Stability

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Convergence and stability of the balanced methods for stochastic differential equations with jumps

International Journal of Computer Mathematics ◽

10.1080/00207160.2010.521548 ◽

2011 ◽

Vol 88 (10) ◽

pp. 2089-2108 ◽

Author(s):

Lin Hu ◽

Siqing Gan

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Convergence And Stability

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Convergence and Stability of Split-Step Milstein Schemes for Stochastic Differential Equations

Asian Research Journal of Mathematics ◽

10.9734/arjom/2017/30465 ◽

2017 ◽

Vol 2 (3) ◽

pp. 1-11

Author(s):

Lingzhi Teng ◽

Haomin Zhang ◽

Xiaoting Tao

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Convergence And Stability

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Convergence and stability properties Euler method for solving fuzzy Stochastic differential equations

Journal of Fuzzy Set Valued Analysis ◽

10.5899/2015/jfsva-00230 ◽

2015 ◽

Vol 2015 (3) ◽

pp. 194-207 ◽

Author(s):

A. Seyed Alavi Nobar

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Euler Method ◽

Stability Properties ◽

Convergence And Stability

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Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2018.02.039 ◽

2018 ◽

Vol 340 ◽

pp. 296-317 ◽

Author(s):

Yulan Lu ◽

Minghui Song ◽

Mingzhu Liu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Random Measure ◽

Poisson Random Measure ◽

Convergence And Stability ◽

Piecewise Continuous ◽

Piecewise Continuous Arguments ◽

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Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2021.113849 ◽

2021 ◽

pp. 113849

Author(s):

Yuhang Zhang ◽

Minghui Song ◽

Mingzhu Liu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Nonlinear Stochastic Differential Equations ◽

Convergence And Stability ◽

Piecewise Continuous ◽

Piecewise Continuous Arguments ◽

Stochastic Theta Method ◽

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Convergence and stability of modified partially truncated Euler–Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2021.113895 ◽

2021 ◽

pp. 113895

Author(s):

Hongfu Yang ◽

Jianhua Huang

Keyword(s):

Diffusion Coefficient ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Hölder Continuous ◽

Nonlinear Stochastic Differential Equations ◽

Convergence And Stability

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Convergence and stability of impulsive stochastic differential equations

International Journal of Computer Mathematics ◽

10.1080/00207160.2016.1227798 ◽

2016 ◽

Vol 94 (9) ◽

pp. 1738-1746 ◽

Author(s):

M. H. Song ◽

H. Z. Yang ◽

M. Z. Liu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Convergence And Stability

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Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure

Advances in Difference Equations ◽

10.1186/1687-1847-2012-214 ◽

2012 ◽

Vol 2012 (1) ◽

Author(s):

Minghui Song ◽

Hui Yu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Random Measure ◽

Euler Method ◽

Poisson Random Measure ◽

Convergence And Stability

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Convergence and stability of a micro–macro acceleration method: Linear slow–fast stochastic differential equations with additive noise

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.112490 ◽

2019 ◽

pp. 112490

Author(s):

Przemysław Zieliński ◽

Hannes Vandecasteele ◽

Giovanni Samaey

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Additive Noise ◽

Convergence And Stability ◽

Acceleration Method

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Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2012.08.015 ◽

2013 ◽

Vol 238 ◽

pp. 14-28 ◽

Author(s):

Xuerong Mao ◽

Lukasz Szpruch

Keyword(s):

Numerical Methods ◽

Differential Equations ◽

Strong Convergence ◽

Stochastic Differential Equations ◽

Lipschitz Continuous ◽

Convergence And Stability

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