Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

DOI10.1007/s11253-011-0487-yzbMath1235.60086OpenAlexW1973102025MaRDI QIDQ765113

Yuliya S. Mishura, V. P. Zubchenko

Publication date: 19 March 2012

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-011-0487-y

zbMATH Keywords

non-Lipschitz diffusionEuler scheme for stochastic differential equations

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence