The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion

DOI10.1515/ROSE.2011.003zbMath1280.60041MaRDI QIDQ4923211

S. V. Posashkova, Yuliya S. Mishura

Publication date: 6 June 2013

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationstrong convergenceEuler schemenon-Lipschitz

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching ⋮ Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift ⋮ Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

Cites Work

• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

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