Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift

DOI10.1007/978-3-319-91436-7_11zbMath1412.65116OpenAlexW2810444146MaRDI QIDQ1722519

Wei Fang, Michael B. Giles

Publication date: 18 February 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-91436-7_11

zbMATH Keywords

strong convergenceergodicitySDEEuler-MaruyamaMLMCadaptive timestep

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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