Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

DOI10.1016/j.jmaa.2005.04.052zbMath1090.60055OpenAlexW1972100879MaRDI QIDQ819723

Xicheng Zhang

Publication date: 29 March 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.04.052

zbMATH Keywords

Anticipative stochastic differential equationconvergence in \(p\)-th meanLarge deviation principleStochastic differential equation with non-Lipschitz coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

Relatively compact families of functionals on abstract Wiener space and applications, Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients, Approximation Theorem for Stochastic Differential Equations Driven by G-Brownian Motion, Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations, Rate of convergence of Euler's approximations for SDEs with non-Lipschitz coefficients, Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients, Euler schemes and large deviations for stochastic Volterra equations with singular kernels, Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model, Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients, Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient, Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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