Weak approximation schemes for SDEs with super-linearly growing coefficients

DOI10.1016/j.apnum.2024.01.003MaRDI QIDQ6546887

Yu-Ying Zhao, Xiao-Jie Wang

Publication date: 30 May 2024

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsweak convergence rateEuler methods

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)

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Related Items (2)

Regularity preservation in Kolmogorov equations for non-Lipschitz coefficients under Lyapunov conditions ⋮ Weak convergence of tamed exponential integrators for stochastic differential equations

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