Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

被引：45

作者：

Zhang, Zhongqiang ^{[1
]}

Ma, Heping ^{[2
]}

机构：

[1] Worcester Polytech Inst, Dept Math Sci, Worcester, MA 01609 USA

[2] Shanghai Univ, Dept Math, Shanghai 200444, Peoples R China

来源：

APPLIED NUMERICAL MATHEMATICS | 2017年 / 112卷

关键词：

Non-globally Lipschitz coefficients; Tamed schemes; Explicit schemes; Mean-square convergence; High-order schemes; STOCHASTIC DIFFERENTIAL-EQUATIONS; EULER-MARUYAMA METHOD; STRONG-CONVERGENCE; STABILITY;

D O I：

10.1016/j.apnum.2016.09.013

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We introduce a class of explicit balanced schemes for stochastic differential equations with coefficients of superlinearly growth satisfying a global monotone condition. The first scheme is a balanced Euler scheme and is of order half in the mean-square sense whereas it is of order one under additive noise. The second scheme is a balanced Milstein scheme, which is of order one in the mean-square sense. Some numerical results are presented. (C) 2016 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：1 / 16

页数：16

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