The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation. (English) Zbl 1468.65007
Summary: We present an explicit numerical method for solving stochastic differential equations with non-globally Lipschitz coefficients. A linear version of the Steklov average under a split-step formulation supports our new solver. The linear Steklov method converges strongly with a standard one-half order. Also, we present numerical evidence that the explicit linear Steklov reproduces almost surely stability solutions with high-accuracy for diverse application models even for stochastic differential systems with super-linear diffusion coefficients.
MSC:
| 65C30 | Numerical solutions to stochastic differential and integral equations |
| 34F05 | Ordinary differential equations and systems with randomness |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
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