کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4639482 | 1632052 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients](/preview/png/4639482.png)
چکیده انگلیسی
We are interested in the strong convergence and almost sure stability of Euler–Maruyama (EM) type approximations to the solutions of stochastic differential equations (SDEs) with non-linear and non-Lipschitzian coefficients. Motivation comes from finance and biology where many widely applied models do not satisfy the standard assumptions required for the strong convergence. In addition we examine the globally almost surely asymptotic stability in this non-linear setting for EM type schemes. In particular, we present a stochastic counterpart of the discrete LaSalle principle from which we deduce stability properties for numerical methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 238, 15 January 2013, Pages 14–28
Journal: Journal of Computational and Applied Mathematics - Volume 238, 15 January 2013, Pages 14–28
نویسندگان
Xuerong Mao, Lukasz Szpruch,