Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
Traditional finite-time convergence theory for numerical methods applied to stochastic differential equations (SDEs) requires a global Lipschitz assumption on the drift and diffusion coefficients. In practice, many important SDE models satisfy only a local Lipschitz property and, since Brownian paths can make arbitrarily large excursions, the global Lipschitz-based theory is not directly releva...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2002
ISSN: 0036-1429,1095-7170
DOI: 10.1137/s0036142901389530