Strong convergence rates of modified truncated EM method for stochastic differential equations

DOI10.1016/j.cam.2017.11.024zbMath1378.60083arXiv1701.04598OpenAlexW2574985370MaRDI QIDQ1689432

Guangqiang Lan, Fang Xia

Publication date: 12 January 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.04598

zbMATH Keywords

stochastic differential equationslocal Lipschitz conditionstrong convergence ratemodified truncated Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

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