首页|Split-step balanced theta-method for SDEs with non-globally Lipschitz continuous coefficients

Split-step balanced theta-method for SDEs with non-globally Lipschitz continuous coefficients

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  • NSTL
  • Elsevier
In this paper, a split-step balanced theta-method (SSBT) has been presented for solving stochastic differential equations (SDEs) under non-global Lipschitz conditions, where theta is an element of[0, 1] is a parameter of the scheme. The moment boundedness and strong convergence of the numerical solution have been studied, and the convergence rate is 0.5. Moreover, under some conditions it is proved that the SSBT scheme can preserve the exponential mean-square stability of the exact solution when theta is an element of(1/2, 1] for every step size h > 0. Numerical examples verify the theoretical findings. (C) 2021 Elsevier Inc. All rights reserved.

Nonlinear problemsThe balanced methodStrong convergenceExponential stabilityMean-square contractionSTOCHASTIC DIFFERENTIAL-EQUATIONSSURE EXPONENTIAL STABILITYEULER-MARUYAMA METHODSTRONG-CONVERGENCEMEAN-SQUARENUMERICAL-SOLUTIONMILSTEIN SCHEMESIMPLICITDIVERGENCEJUMPS

Liu, Yufen、Cao, Wanrong、Li, Yuelin

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Southeast Univ

Columbia Univ

2022

10.1016/j.amc.2021.126437

Applied mathematics and computation

Applied mathematics and computation

EISCI
ISSN：0096-3003
年,卷(期)：2022.413
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