Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients
نویسندگان
چکیده
منابع مشابه
Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients
Stochastic differential equations are often simulated with the Monte Carlo Euler method. Convergence of this method is well understood in the case of globally Lipschitz continuous coefficients of the stochastic differential equation. The important case of superlinearly growing coefficients, however, remained an open question for a long time now. The main difficulty is that numerically weak conv...
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ژورنال
عنوان ژورنال: Foundations of Computational Mathematics
سال: 2011
ISSN: 1615-3375,1615-3383
DOI: 10.1007/s10208-011-9101-9