Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
نویسندگان
چکیده
منابع مشابه
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
We are interested in the strong convergence and almost sure stability of Euler-Maruyama (EM) type approximations to the solutions of stochastic differential equations (SDEs) with non-linear and nonLipschitzian coefficients. Motivation comes from finance and biology where many widely applied models do not satisfy the standard assumptions required for the strong convergence. In addition we examin...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2013
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.08.015