Rate of convergence of Euler's approximations for SDEs with non-Lipschitz coefficients

DOI10.1007/s10114-013-2298-6zbMath1270.60066OpenAlexW2132309272MaRDI QIDQ2392001

Jicheng Liu

Publication date: 6 August 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-2298-6

zbMATH Keywords

stochastic differential equationsnon-LipschitzEuler's approximations

Mathematics Subject Classification ID

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

Related Items

Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients

Cites Work

• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
• A note on Euler's approximations
• On a type of stochastic differential equations driven by countably many Brownian motions
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• Extremal Properties of Solutions of Stochastic Equations
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• Euler Polygonal Lines for Itô Equations with Monotone Coefficients
• The canonic diffusion above the diffeomorphism group of the circle
• A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone Coefficients