Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
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.
scientific article; zbMATH DE number 2147855