Strong convergence of full-discrete nonlinearity-truncated accelerated exponential euler-type approximations for stochastic Kuramoto–Sivashinsky equations
نویسندگان
چکیده
منابع مشابه
Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
Traditional finite-time convergence theory for numerical methods applied to stochastic differential equations (SDEs) requires a global Lipschitz assumption on the drift and diffusion coefficients. In practice, many important SDE models satisfy only a local Lipschitz property and, since Brownian paths can make arbitrarily large excursions, the global Lipschitz-based theory is not directly releva...
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Influenced by Higham, Mao and Stuart [9], several numerical methods have been developed to study the strong convergence of the numerical solutions to stochastic differential equations (SDEs) under the local Lipschitz condition. These numerical methods include the tamed Euler–Maruyama (EM) method, the tamed Milstein method, the stopped EM, the backward EM, the backward forward EM, etc. Recently,...
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Influenced by Higham, Mao and Stuart [10], several numerical methods have been developed to study the strong convergence of the numerical solutions to stochastic differential equations (SDEs) under the local Lipschitz condition. These numerical methods include the tamed Euler–Maruyama (EM) method, the tamed Milstein method, the stopped EM, the backward EM, the backward forward EM, etc. In this ...
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ژورنال
عنوان ژورنال: Communications in Mathematical Sciences
سال: 2018
ISSN: 1539-6746,1945-0796
DOI: 10.4310/cms.2018.v16.n6.a2