A note on the rate of convergence of the Euler-Maruyama method for stochastic differential equations

Stochastic Analysis and Applications

Volumn 26, Issue 2, 2008, Pages 325-333

  Yuan, Chenggui ^a   Mao, Xuerong ^b  

^a SWANSEA UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

Brownian motion; Euler Maruyama method; Lipschitz condition

Indexed keywords

EID: 40549141467     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990701857251     Document Type: Article

References (4)

1. Fang, S., Imkeller, P., and Zhang, T. 2006. Global flows for stochastic differential equations without global Lipschitz conditions. Annals of Probability 35:180-205.
2. Higham, D.J., Mao, X., and Stuart, A.M. 2002. Strong convergence of numerical methods for nonlinear stochastic differential equations. SIAM J. Num. Anal. 40:1041-1063.
3. Mao, X. 1997. Stochastic Differential Equations and Applications. Horwood Publishing, Chichester.
4. Mao, X., and Yuan, C. 2006. Stochastic Differential Equations with Markovian Switching. Imperial College Press, London.