Title | ||
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Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations. |
Abstract | ||
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We consider the use of adaptive timestepping to allow a strong explicit Euler–Maruyama discretisation to reproduce dynamical properties of a class of nonlinear stochastic differential equations with a unique equilibrium solution and non-negative, non-globally Lipschitz coefficients. Solutions of such equations may display a tendency towards explosive growth, countered by a sufficiently intense and nonlinear diffusion. |
Year | DOI | Venue |
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2018 | 10.1016/j.cam.2017.11.027 | Journal of Computational and Applied Mathematics |
Keywords | Field | DocType |
37H10,39A50,60H35,65C30 | Convergence (routing),Discretization,Mathematical optimization,Martingale (probability theory),Nonlinear system,Mathematical analysis,Stochastic differential equation,Exponential stability,Lipschitz continuity,Mathematics,Euler–Maruyama method | Journal |
Volume | ISSN | Citations |
334 | 0377-0427 | 2 |
PageRank | References | Authors |
0.66 | 7 | 3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Cónall Kelly | 1 | 43 | 5.85 |
Alexandra Rodkina | 2 | 49 | 7.90 |
Eeva Maria Rapoo | 3 | 2 | 0.66 |