Euler–Maruyama method

Known as: Euler discretization, Euler-Maruyama, Euler−Maruyama method 
In mathematics, more precisely in Itô calculus, the Euler–Maruyama method, also called simply the Euler method, is a method for the approximate… (More)
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2017
2017
The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were… (More)
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2017
2017
The partially truncated Euler–Maruyama (EM) method is proposed in this paper for highly nonlinear stochastic differential… (More)
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Review
2016
Review
2016
The purpose of this paper is to survey stochastic differential equations and Euler-Maruyama method for approximating the solution… (More)
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2016
2016
In this paper, the Euler–Maruyama (EM) method with random variable stepsize is studied to reproduce the almost sure stability of… (More)
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2015
2015
Influenced by Higham, Mao and Stuart [10], several numerical methods have been developed to study the strong convergence of the… (More)
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2015
2015
Backward error analysis is an important tool to study long time behavior of numerical methods. The main idea of it is to use… (More)
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2012
2012
A discrete stochastic Razumikhin-type theorem is established to investigate whether the Euler–Maruyama (EM) scheme can reproduce… (More)
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2006
2006
Abstract. The understanding of adaptive algorithms for SDEs is an open area where many issues related to both convergence and… (More)
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2004
2004
Stochastic differential equations with Markovian switching (SDEwMSs), one of the important classes of hybrid systems, have been… (More)
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Highly Cited
2002
Highly Cited
2002
Traditional finite-time convergence theory for numerical methods applied to stochastic differential equations (SDEs) requires a… (More)
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