A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
نویسندگان
چکیده
منابع مشابه
A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
A version of the fundamental mean-square convergence theorem is proved for stochastic differential equations (SDEs) in which coefficients are allowed to grow polynomially at infinity and which satisfy a one-sided Lipschitz condition. The theorem is illustrated on a number of particular numerical methods, including a special balanced scheme and fully implicit methods. The proposed special balanc...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2013
ISSN: 0036-1429,1095-7170
DOI: 10.1137/120902318