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- Title
High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients.
- Authors
Yue, Chao
- Abstract
In this paper, we first propose the so-called improved split-step theta methods for non-autonomous stochastic differential equations driven by non-commutative noise. Then, we prove that the improved split-step theta method is convergent with strong order of one for stochastic differential equations with the drift coefficient satisfying a superlinearly growing condition and a one-sided Lipschitz continuous condition. Finally, the obtained results are verified by numerical experiments. Copyright © 2016 John Wiley & Sons, Ltd.
- Subjects
STOCHASTIC differential equations; LIPSCHITZ spaces; NUMERICAL solutions to difference equations; EULER method; DIFFUSION coefficients
- Publication
Mathematical Methods in the Applied Sciences, 2016, Vol 39, Issue 9, p2380
- ISSN
0170-4214
- Publication type
Article
- DOI
10.1002/mma.3647