A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
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Publication:5397607
DOI10.1137/120902318zbMath1293.60069arXiv1212.1352OpenAlexW3100051090MaRDI QIDQ5397607
M. V. Tretyakov, Zhongqiang Zhang
Publication date: 24 February 2014
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.1352
strong convergencealmost sure convergencefully implicit methodsbalanced methodsnumerical integration of SDEs in the mean-square senseSDEs with nonglobally Lipschitz coefficients
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)
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