Result 1 to 20 of 79 total
Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. (English)
Ann. Appl. Probab. 22, No. 4, 1611-1641 (2012).
1
Exponential mean square stability of numerical methods for systems of stochastic differential equations. (English)
J. Comput. Appl. Math. 236, No. 16, 4016-4026 (2012).
2
A generalized $θ$-scheme for solving backward stochastic differential equations. (English)
Discrete Contin. Dyn. Syst., Ser. B 17, No. 5, 1585-1603 (2012).
3
Pathwise convergence rate for numerical solutions of stochastic differential equations. (English)
IMA J. Numer. Anal. 32, No. 2, 701-723 (2012).
4
Jump systems with the mean-reverting $γ$-process and convergence of the numerical approximation. (English)
Stoch. Dyn. 12, No. 2, 1150018, 15 p. (2012).
5
Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift. (English)
J. Comput. Appl. Math. 236, No. 7, 1903-1918 (2012).
6
Characterization of bistability for stochastic multistep methods. (English)
BIT 52, No. 1, 109-140 (2012).
7
Uniform convergence of interlaced Euler method for stiff stochastic differential equations. (English)
Multiscale Model. Simul. 9, No. 3, 1217-1252 (2011).
8
The Euler scheme for Feller processes. (English)
Stochastic Anal. Appl. 29, No. 6, 1045-1056 (2011).
9
An estimate of the solutions for stochastic functional differential equations. (English)
J. Appl. Math. Inform. 29, No. 5-6, 1549-1556 (2011).
10
Convergence and stability of the balanced methods for stochastic differential equations with jumps. (English)
Int. J. Comput. Math. 88, No. 10, 2089-2108 (2011).
11
On the existence and the applications of modified equations for stochastic differential equations. (English)
SIAM J. Sci. Comput. 33, No. 1, 102-130 (2011).
12
The numerical stability of stochastic ordinary differential equations with additive noise. (English)
Stoch. Dyn. 11, No. 2-3, 265-281 (2011).
13
Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes. (English)
J. Comput. Appl. Math. 235, No. 8, 2569-2580 (2011).
14
Improved rectangular method on stochastic Volterra equations. (English)
J. Comput. Appl. Math. 235, No. 8, 2492-2501 (2011).
15
Qualitative analysis of a stochastic ratio-dependent predator-prey system. (English)
J. Comput. Appl. Math. 235, No. 5, 1326-1341 (2011).
16
Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations. (English)
SIAM J. Numer. Anal. 48, No. 1, 298-321 (2010).
17
Approximation methods for hybrid diffusion systems with state-dependent switching processes: numerical algorithms and existence and uniqueness of solutions. (English)
SIAM J. Math. Anal. 41, No. 6, 2335-2352 (2010).
18
High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise. (English)
BIT 50, No. 3, 509-539 (2010).
19
$L^p$-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations. (English)
Stat. Probab. Lett. 80, No. 21-22, 1612-1617 (2010).
20
Result 1 to 20 of 79 total
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