Truncated Milstein method for non-autonomous stochastic differential equations and its modification
In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Liao, Juan [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2022 |
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| Übergeordnetes Werk: |
Enthalten in: Dielectric relaxation and microwave dielectric properties of low temperature sintering LiMnPO4 ceramics - Hu, Xing ELSEVIER, 2015transfer abstract, Amsterdam [u.a.] |
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| Übergeordnetes Werk: |
volume:402 ; year:2022 ; day:1 ; month:03 ; pages:0 |
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| DOI / URN: |
10.1016/j.cam.2021.113817 |
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| 520 | |a In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results. | ||
| 650 | 7 | |a Truncated Milstein method |2 Elsevier | |
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10.1016/j.cam.2021.113817 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001542.pica (DE-627)ELV055507425 (ELSEVIER)S0377-0427(21)00439-8 DE-627 ger DE-627 rakwb eng 670 VZ 540 VZ 630 VZ Liao, Juan verfasserin aut Truncated Milstein method for non-autonomous stochastic differential equations and its modification 2022 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results. Truncated Milstein method Elsevier Randomized step-size Elsevier Non-autonomous stochastic differential equations Elsevier Super-linear state variable Elsevier Hölder continuous time variable Elsevier Liu, Wei oth Wang, Xiaoyan oth Enthalten in North-Holland Hu, Xing ELSEVIER Dielectric relaxation and microwave dielectric properties of low temperature sintering LiMnPO4 ceramics 2015transfer abstract Amsterdam [u.a.] (DE-627)ELV013217658 volume:402 year:2022 day:1 month:03 pages:0 https://doi.org/10.1016/j.cam.2021.113817 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA AR 402 2022 1 0301 0 |
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10.1016/j.cam.2021.113817 doi /cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001542.pica (DE-627)ELV055507425 (ELSEVIER)S0377-0427(21)00439-8 DE-627 ger DE-627 rakwb eng 670 VZ 540 VZ 630 VZ Liao, Juan verfasserin aut Truncated Milstein method for non-autonomous stochastic differential equations and its modification 2022 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results. Truncated Milstein method Elsevier Randomized step-size Elsevier Non-autonomous stochastic differential equations Elsevier Super-linear state variable Elsevier Hölder continuous time variable Elsevier Liu, Wei oth Wang, Xiaoyan oth Enthalten in North-Holland Hu, Xing ELSEVIER Dielectric relaxation and microwave dielectric properties of low temperature sintering LiMnPO4 ceramics 2015transfer abstract Amsterdam [u.a.] (DE-627)ELV013217658 volume:402 year:2022 day:1 month:03 pages:0 https://doi.org/10.1016/j.cam.2021.113817 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA AR 402 2022 1 0301 0 |
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In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results. |
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In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results. |
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In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">ELV055507425</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230624221950.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">220105s2022 xx |||||o 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1016/j.cam.2021.113817</subfield><subfield code="2">doi</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">/cbs_pica/cbs_olc/import_discovery/elsevier/einzuspielen/GBV00000000001542.pica</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)ELV055507425</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ELSEVIER)S0377-0427(21)00439-8</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">670</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">540</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">630</subfield><subfield code="q">VZ</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Liao, Juan</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Truncated Milstein method for non-autonomous stochastic differential equations and its modification</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2022</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">z</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zu</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">In this paper, the truncated Milstein method, that was initially proposed in Guo et al. (2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method. Numerical simulations are provided to illustrate the theoretical results.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Truncated Milstein method</subfield><subfield code="2">Elsevier</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Randomized step-size</subfield><subfield code="2">Elsevier</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Non-autonomous stochastic differential equations</subfield><subfield code="2">Elsevier</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Super-linear state variable</subfield><subfield code="2">Elsevier</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Hölder continuous time variable</subfield><subfield code="2">Elsevier</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Liu, Wei</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Wang, Xiaoyan</subfield><subfield code="4">oth</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="n">North-Holland</subfield><subfield code="a">Hu, Xing ELSEVIER</subfield><subfield code="t">Dielectric relaxation and microwave dielectric properties of low temperature sintering LiMnPO4 ceramics</subfield><subfield code="d">2015transfer abstract</subfield><subfield code="g">Amsterdam [u.a.]</subfield><subfield code="w">(DE-627)ELV013217658</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:402</subfield><subfield code="g">year:2022</subfield><subfield code="g">day:1</subfield><subfield code="g">month:03</subfield><subfield code="g">pages:0</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1016/j.cam.2021.113817</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ELV</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-PHA</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">402</subfield><subfield code="j">2022</subfield><subfield code="b">1</subfield><subfield code="c">0301</subfield><subfield code="h">0</subfield></datafield></record></collection>
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