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math.NA2025
Strong convergence rates of stochastic theta methods for index 1 stochastic differential algebraic equations under non-globally Lipschitz conditions
Lin Chen, Ziheng Chen, Jing Zhao
This work investigates numerical approximations of index 1 stochastic differential algebraic equations (SDAEs) with non-constant singular matrices under non-global Lipschitz condit…
math.NA2024
Stochastic theta methods for random periodic solution of stochastic differential equations under non-globally Lipschitz conditions
Ziheng Chen, Liangmin Cao, Lin Chen
This work focuses on the numerical approximations of random periodic solutions of stochastic differential equations (SDEs). Under non-globally Lipschitz conditions, we prove the ex…