Convergence of the Tamed Euler Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Non-global Lipschitz Continuous Coefficients

In this paper, we deal with the strong convergence of numerical methods for stochastic differential equations with piecewise continuous arguments (SEPCAs) with at most polynomially growing drift coefficients and global Lipschitz continuous diffusion coefficients. An explicit and time-saving tamed Euler method is used to solve this type of SEPCAs. We show that the tamed Euler method is bounded in pth moment. And then the convergence of the tamed Euler method is proved. Moreover, the convergence order is one-half. Several numerical simulations are shown to verify the convergence of this method.     

改进欧拉格式求解随机微分方程的收敛性

采用改进的欧拉格式求解随机微分方程,当方程的偏移系数和扩散系数均满足全局Lipschitz条件和线性增长条件时,证明改进格式的强收敛的阶是1/2.     

On the Convergence Rate of Euler Scheme for SDE with Lipschitz Drift and Constant Diffusion

It is well known that the weak Euler approximation of a stochastic differential equation has order one, provided the coefficients of the equation are sufficiently smooth. We prove that the order of the approximation is still one in the case where the drift coefficient is a Lipschitz function and the diffusion coefficient is constant.     

Stability of Solutions of Stochastic Functional-Differential Equations with Locally Lipschitz Coefficients in Hilbert Spaces

We obtain sufficient conditions for the stability of weak solutions of nonlinear stochastic functional-differential equations in Hilbert spaces with random coefficients satisfying the nonlocal Lipschitz condition.     

Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition

The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only continuity in the arguments corresponding to delays. Furthermore, the rate of convergence is obtained under one-sided and polynomial Lipschitz conditions. Finally, our findings are demonstrated with the help of numerical simulations.     

Strong Convergence of a Fully Discrete Scheme for Multiplicative Noise Driving SPDEs with Non-Globally Lipschitz Continuous Coefficients

This work investigates strong convergence of numerical schemes for nonlinear multiplicative noise driving stochastic partial differential equations under some weaker conditions imposed on the coefficients avoiding the commonly used global Lipschitz assumption in the literature. Space-time fully discrete scheme is proposed, which is performed by the finite element method in space and the implicit Euler method in time. Based on some technical lemmas including regularity properties for the exact solution of the considered problem, strong convergence analysis with sharp convergence rates for the proposed fully discrete scheme is rigorously established.     

On the Convergence Analysis of the Inexact Linearly Implicit Euler Scheme for a Class of Stochastic Partial Differential Equations

This paper is concerned with the adaptive numerical treatment of stochastic partial differential equations. Our method of choice is Rothe’s method. We use the implicit Euler scheme for the time discretization. Consequently, in each step, an elliptic equation with random right-hand side has to be solved. In practice, this cannot be performed exactly, so that efficient numerical methods are needed. Well-established adaptive wavelet or finite-element schemes, which are guaranteed to converge with optimal order, suggest themselves. We investigate how the errors corresponding to the adaptive spatial discretization propagate in time, and we show how in each time step the tolerances have to be chosen such that the resulting perturbed discretization scheme realizes the same order of convergence as the one with exact evaluations of the elliptic subproblems.     

随机微分方程欧拉格式算法分析

首先给出了线性随机微分方程的欧拉格式算法,然后给出了非线性随机微分方程变步长的欧拉格式算法,接着讨论了其对初值的连续依赖性和收敛性.     

The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients

We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h^1/2 for certain types of finite-difference schemes are obtained.     

一类变系数微分方程差分格式的收敛性(英文)

本文首先对一类变系数微分方程建立有限差分格式.然后利用矩阵的特征值和范数理论,讨论该格式解的收敛性和唯一性.通过数值算例,说明该格式既有效又便于模拟.并且文中所用方法还能用于高阶微分方程和某些非线性微分方程问题的研究.     

An Approximation Scheme for Reflected Stochastic Differential Equations with Non-Lipschitzian Coefficients

Journal of Theoretical Probability - In this paper, we study a numerical approximation scheme for reflected stochastic differential equations (SDEs) with non-Lipschitzian coefficients in a bounded...     

Convergence of a Finite-Difference Scheme for Second-Order Hyperbolic Equations with Variable Coefficients

We study the convergence of a finite-difference scheme for thefirst initial-boundary-value problem for linear second-orderhyperbolic equations with variable coefficients. Using the bilinearversion of the Bramble-Hilbert lemma we prove that the convergencerate in the discrete energy norm is of the order h^–2 ifthe exact solution belongs to the Sobolev space W₂(Q) with 2<<4.     

Convergence and Mean-Square Stability of Exponential Euler Method for Semi-Linear Stochastic Delay Integro-Differential Equations

In this paper, the numerical methods for semi-linear stochastic delay integro-differential equations are studied. The uniqueness, existence and stability of analytic solutions of semi-linear stochastic delay integro-differential equations are studied and some suitable conditions for the mean-square stability of the analytic solutions are also obtained. Then the numerical approximation of exponential Euler method for semi-linear stochastic delay integro-differential equations is constructed and the convergence and the stability of the numerical method are studied. It is proved that the exponential Euler method is convergent with strong order $\frac{1}{2}$ and can keep the mean-square exponential stability of the analytical solutions under some restrictions on the step size. In addition, numerical experiments are presented to confirm the theoretical results.     

The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains

We consider degenerate parabolic and elliptic fully nonlinear Bellman equations with Lipschitz coefficients in domains. Error bounds of order h^1/2 in the sup norm for certain types of finite-difference schemes are obtained.     

具有Markov调制的随机种群系统半驯服Euler法的指数稳定性

根据半驯服Euler法讨论了具有Markov调制的随机年龄结构种群系统的数值解. 在非局部Lipschitz条件下, 利用~Burkholder-Davis-Gundy~不等式、It\^{o} 公式和~Gronwall~引理, 证明了半驯服Euler数值解不仅强收敛阶数为~0.5, 而且这种方法在时间步长一定的条件下有很好的均方指数稳定性. 最后通过数值例子对所给的结论进行了验证.     

Characterization of Quasiconvexity for Locally Lipschitz Vector-Valued Functions

The aim of the article is to characterize the locally Lipschitz vector-valued functions which are K -quasiconvex with respect to a closed convex cone K in the sense that the sublevel sets are convex. Our criteria are written in terms of a K -quasimonotonicity notion of the generalized directional derivative and of Clarke's generalized Jacobian. This work could be compared to Sach's one in which the author gives necessary and sufficient conditions for a locally Lipschitz map f between two Euclidean spaces to be scalarly K -quasiconvex in the sense that, for any continuous linear form of the nonnegative polar cone K + , the composite function f is quasiconvex.     

Multivalued Stochastic Differential Equations: Convergence of a Numerical Scheme

In this paper we show the strong mean square convergence of a numerical scheme for a R ^d -multivalued stochastic differential equation: dX _t +A(X _t )dtb(t,X _t )dt+(t,X _t )dW _t and obtain the rate of convergence O(( log(1/)^1/2) when the diffusion coefficient is bounded. By introducing a discrete Skorokhod problem, we establish L ^p -estimates (p2) for the solutions and prove the convergence by using a deterministic result. Numerical experiments for the rate of convergence are presented.     

A Finite Volume Implicit Euler Scheme for the Linearized Shallow Water Equations: Stability and Convergence

The linearized shallow water equations are discretized in space by a finite volume method and in time by an implicit Euler scheme. Stability and convergence of the scheme are proved.     

中立型随机比例延迟微分方程平衡半隐式Euler方法的均方收敛性

本文讨论求解刚性中立型随机比例延迟微分方程的平衡半隐式Euler方法。证明了中立型随机比例延迟微分方程的平衡半隐式Euler方法是1／2阶均方收敛的。