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math.NA2018
Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients
Cónall Kelly, Gabriel Lord
We present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of stiff stochastic differential equations (SDEs) where both the drift and diffusio…
math.NA2018
On cubic difference equations with variable coefficients and fading stochastic perturbations
Ricardo Baccas, Cónall Kelly, Alexandra Rodkina
We consider the stochastically perturbed cubic difference equation with variable coefficients \[ x_{n+1}=x_n(1-h_nx_n^2)+ρ_{n+1}ξ_{n+1}, \quad n\in \mathbb N,\quad x_0\in \mathbb R…