Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
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Publication:5429617
DOI10.1051/ps:2007030zbMath1183.65004OpenAlexW2136024542MaRDI QIDQ5429617
Mireille Bossy, Awa Diop, Abdel Berkaoui
Publication date: 30 November 2007
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/246056
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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