Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
type: Item
instance of: scholarly article
title: Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
zbMATH Open document ID: 1065.60061
author: Xianqiang Yang
published in: Portugaliae Mathematica. Nova Série
publication date: 2005-03-21T00:00:00Z
full work available at URL: https://eudml.org/doc/51417
review text: The author is concerned here with the existence and uniqueness of the solutions of stochastic differential equations when the coefficients need not be Lipschitz. Approximation in \(L^{p}\) by the Euler scheme under Novikov's conditions is studied, and the usual rates of convergence are obtained.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 2147855
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Euler scheme
zbMATH Keywords: non-Lipschitz coefficients
reviewed by: Andrew Dale
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 2147855