Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients

被引：4

作者：

Li, Rui ^{[1
]}

Zhang, Wei ^{[2
]}

机构：

[1] Qingdao Harbour Vocat & Tech Coll, Qingdao, Shangdong, Peoples R China

[2] Heilongjiang Univ, Sch Math Sci, Harbin, Heilongjiang, Peoples R China

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2022年 / 99卷 / 06期

关键词：

Stochastic differential equation; locally Lipschitz condition; Semi-balanced Euler method; truncated-balanced Euler method; convergence and stability; MARUYAMA METHOD; SDES;

D O I：

10.1080/00207160.2021.1960984

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider stochastic differential equations with locally Lipschitz coefficients. Two classes of balanced Euler method are presented. Their moment boundedness and their convergence are considered. Their convergence rates are shown to be that of the classical Euler method. Moreover, the methods are showed that they can reproduce the mean square exponential stability of SDEs.

引用

页码：1224 / 1271

页数：48

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