Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 467, Issue 2130, 2011, Pages 1563-1576

  Hutzenthaler, Martin ^a   Jentzen, Arnulf ^b   Kloeden, Peter E ^c  

^a UNIVERSITY OF MUNICH   (Germany)

^b PRINCETON UNIVERSITY   (United States)

^c GOETHE UNIVERSITY   (Germany)

Author keywords

Euler scheme; Non globally Lipschitz continuous; Strong approximation; Strong divergence; Weak approximation; Weak divergence

Indexed keywords

EULER SCHEME; LIPSCHITZ CONTINUOUS; STRONG APPROXIMATION; STRONG DIVERGENCE; WEAK APPROXIMATION; WEAK DIVERGENCE;

DIFFERENTIAL EQUATIONS; MEASUREMENT THEORY; STOCHASTIC SYSTEMS;

EULER EQUATIONS;

EID: 79958237304     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2010.0348     Document Type: Conference Paper

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