An adaptive Euler-Maruyama scheme for SDEs: Convergence and stability

IMA Journal of Numerical Analysis

Volumn 27, Issue 3, 2007, Pages 479-506

  Lamba, H ^a   Mattingly, J C ^b   Stuart, A M ^c  

^a GEORGE MASON UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Adaptive time discretization; Convergence; Ergodicity; Exponential moment bounds; Stability; Stochastic differential equations

Indexed keywords

ADAPTIVE ALGORITHMS; COERCIVE FORCE; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; STOCHASTIC SYSTEMS;

CONVERGENCE; ERGODICITY; MOMENT BOUNDS; STOCHASTIC DIFFERENTIAL EQUATIONS; TIME DISCRETIZATION;

STABILITY;

EID: 34247560632     PISSN: 02724979     EISSN: 14643642     Source Type: Journal    
DOI: 10.1093/imanum/drl032     Document Type: Article

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