Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
type: Item
instance of: scholarly article
title: Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift
zbMATH Open document ID: 1412.65116
DOI: 10.1007/978-3-319-91436-7_11
author: Wei Fang
author: Mike Giles
publication date: 2019-02-18T00:00:00Z
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65C20
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 82C31
zbMATH DE Number: 7024264
zbMATH Keywords: SDE
zbMATH Keywords: Euler-Maruyama
zbMATH Keywords: strong convergence
zbMATH Keywords: adaptive timestep
zbMATH Keywords: ergodicity
zbMATH Keywords: MLMC
MaRDI profile type: Publication
full work available at URL: 978-3-319-91436-7 11
OpenAlex ID: W2810444146
description: scientific article; zbMATH DE number 7024264