Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
type: Item
instance of: scholarly article
title: Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
zbMATH Open document ID: 1253.65006
author: Martin Hutzenthaler
author: Arnulf Jentzen
published in: Foundations of Computational Mathematics
publication date: 2012-01-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/0912.2609
review text: Weak convergence of Euler-type methods for numerical integration of ordinary stochastic differential equations with one-sided Lipschitz continuous drift and global Lipschitz continuous diffusion terms is verified. Some simulation results are given as well. For strong convergence, see \textit{H. Schurz} [Int. J. Numer. Anal. Model. 3, No. 4, 459--480 (2006; Zbl 1109.65010)] where similar examples are discussed and strong convergence is established by an axiomatic approach.
reviewed by: Henri Schurz
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 5997538
zbMATH Keywords: Euler scheme
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Monte Carlo Euler method
zbMATH Keywords: one-sided Lipschitz continuous drift
zbMATH Keywords: weak convergence
MaRDI profile type: Publication
OpenAlex ID: W2088070062
arXiv ID: 0912.2609
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DOI: 10.1007/S10208-011-9101-9
description: scientific article