Euler scheme for SDEs with non-Lipschitz diffusion coefficient: Strong convergence

ESAIM - Probability and Statistics

Volumn 12, Issue , 2008, Pages 1-11

  Berkaoui, Abdel ^a   Bossy, Mireille ^b   Diop, Awa ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b INRIA   (France)

Author keywords

CIR process; Discretization scheme; Strong convergence

Indexed keywords

EID: 62749153463     PISSN: 12928100     EISSN: 12623318     Source Type: Journal    
DOI: 10.1051/ps:2007030     Document Type: Article

References (10)