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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge for these SDEs in finite time. This article develops...
| Autores principales: | , |
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| Lenguaje: | eng |
| Publicado: |
American Mathematical Society
2015
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| Materias: | |
| Acceso en línea: | http://cds.cern.ch/record/2264063 |