Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients

DOI10.1016/j.spa.2019.07.003OpenAlexW2963272791WikidataQ127467867 ScholiaQ127467867MaRDI QIDQ1986026

Jaime San Martín, Lisha Qiu, Philip E. Protter

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.04480

zbMATH Keywords

stochastic differential equationweak convergenceEuler schemeconvergence in probabilitylocally Lipschitznormalized error process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis ⋮ Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

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