Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
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Publication:1726779
DOI10.1016/j.spl.2018.09.006zbMath1418.60102OpenAlexW2891668637MaRDI QIDQ1726779
Duc-Trong Luong, Hoang-Long Ngo
Publication date: 20 February 2019
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2018.09.006
stochastic differential equationstrong approximationirregular coefficientsHödler continuous diffusionsuper-linearly growing coefficienttamed Euler scheme
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)
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