Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients (Q1769305)
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scientific article; zbMATH DE number 2147855
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients |
scientific article; zbMATH DE number 2147855 |
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Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients (English)
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21 March 2005
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The author is concerned here with the existence and uniqueness of the solutions of stochastic differential equations when the coefficients need not be Lipschitz. Approximation in \(L^{p}\) by the Euler scheme under Novikov's conditions is studied, and the usual rates of convergence are obtained.
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stochastic differential equations
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Euler scheme
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non-Lipschitz coefficients
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