A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions

DOI10.1080/00207160.2020.1737861zbMath1480.65023arXiv1801.05518OpenAlexW3009284318MaRDI QIDQ5031218

Li Tan, Chenggui Yuan

Publication date: 18 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.05518

zbMATH Keywords

strong convergencestochastic differential equationsimplicit schemediscrete Gronwall inequalitylocal one-sided Lipschitz

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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