Divergence of the backward Euler method for ordinary stochastic differential equations

DOI10.1007/S11075-019-00661-6zbMath1433.60039OpenAlexW2911214857WikidataQ128606704 ScholiaQ128606704MaRDI QIDQ2009062

Marija Milošević

Publication date: 27 November 2019

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-019-00661-6

zbMATH Keywords

backward Euler methodordinary stochastic differential equationsone-sided Lipschitz conditionstrong \(L^p\)-divergencesuper-linear growth conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Stochastic Differential Equations with Markovian Switching

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