Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients

Foundations of Computational Mathematics

Volumn 11, Issue 6, 2011, Pages 657-706

  Hutzenthaler, Martin ^a   Jentzen, Arnulf ^b  

^a UNIVERSITY OF MUNICH   (Germany)

^b PRINCETON UNIVERSITY   (United States)

Author keywords

Euler scheme; Local Lipschitz condition; Monte Carlo Euler method; Stochastic differential equations

Indexed keywords

EID: 81255158896     PISSN: 16153375     EISSN: 16153383     Source Type: Journal    
DOI: 10.1007/s10208-011-9101-9     Document Type: Article

References (21)

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