Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients. Issue 6 (3rd June 2022)

• Record Type: Journal Article
• Authors: Li, Rui; Zhang, Wei
• Is Part Of: International journal of computer mathematics. Volume 99:Issue 6(2022)
• Page Start: 1224
• Page End: 1271
• Publication Date: 2022-06-03
• Subjects: Stochastic differential equation -- locally Lipschitz condition -- Semi-balanced Euler method -- truncated-balanced Euler method -- convergence and stability; 65C30; Computers -- Periodicals; Numerical analysis -- Periodicals; Automation -- Periodicals; 004.0151
• DOI: 10.1080/00207160.2021.1960984
• Languages: English
• ISSNs: 0020-7160

Abstract

Abstract : 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.