Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients

zbMath1065.60061MaRDI QIDQ1769305

Xianqiang Yang

Publication date: 21 March 2005

Published in: Portugaliae Mathematica. Nova Série (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/51417

zbMATH Keywords

stochastic differential equationsEuler schemenon-Lipschitz coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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