Strong convergence of Euler-type methods for nonlinear stochastic differential equations

SIAM Journal on Numerical Analysis

Volumn 40, Issue 3, 2002, Pages 1041-1063

  Higham, Desmond J ^a   Mao, Xuerong ^a   Stuart, Andrew M ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Backward Euler; Euler Maruyama; Finite time convergence; Implicit; Moment bounds; Nonlinearity; One sided Lipschitz condition; Split step

Indexed keywords

BOUNDARY CONDITIONS; CONVERGENCE OF NUMERICAL METHODS; FINITE DIFFERENCE METHOD; NONLINEAR SYSTEMS; RANDOM PROCESSES;

STOCHASTIC DIFFERENTIAL EQUATIONS (SDE);

DIFFERENTIAL EQUATIONS;

EID: 0012279718     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142901389530     Document Type: Article

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