Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition (Q5413859): Difference between revisions

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scientific article; zbMATH DE number 6291220

Language	Label	Description	Also known as
English	Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition	scientific article; zbMATH DE number 6291220

Statements

instance of

scholarly article

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title

Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition (English)

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Stochastic Analysis and Applications

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publication date

2 May 2014

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full work available at URL

https://arxiv.org/abs/1303.0017

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zbMATH Keywords

Euler approximations

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local Lipschitz condition

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rate of convergence

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stochastic delay differential equations

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strong convergence

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MaRDI profile type

MaRDI publication profile

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cites work

A Delayed Black and Scholes Formula

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Optimal stopping of stochastic differential equations with delay driven by Lévy noise

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A stochastic control problem with delay arising in a pension fund model

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Coherence of noisy oscillators with delayed feedback

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Q4369402

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Arithmetic Asian Options under Stochastic Delay Models

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Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations

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Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

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A note on Euler approximations for stochastic differential equations with delay

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Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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Numerical Solutions of Stochastic Functional Differential Equations

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations

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Weak approximation of stochastic differential delay equations

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Weak discrete time approximation of stochastic differential equations with time delay

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The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations

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Convergence rate of numerical solutions to SFDEs with jumps

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Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

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A note on Euler's approximations

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

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Existence and uniqueness of solutions of stochastic functional differential equations

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On stochastic equations with respect to semimartingales I.<sup>†</sup>

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A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone Coefficients

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1291.60142

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DOI

10.1080/07362994.2014.858552

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5413859

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@@ Property / arXiv ID: 1303.0017 / rank @@
+Normal rank
@@ Property / cites work @@
+A Delayed Black and Scholes Formula
@@ Property / cites work: A Delayed Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal stopping of stochastic differential equations with delay driven by Lévy noise
+Normal rank
@@ Property / cites work @@
+A stochastic control problem with delay arising in a pension fund model
+Normal rank
@@ Property / cites work @@
+Coherence of noisy oscillators with delayed feedback
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Arithmetic Asian Options under Stochastic Delay Models
+Normal rank
@@ Property / cites work @@
+Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for stochastic differential equations with delay
+Normal rank
@@ Property / cites work @@
+Discrete-time approximations of stochastic delay equations: the Milstein scheme.
+Normal rank
@@ Property / cites work @@
+Numerical Solutions of Stochastic Functional Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential delay equations under local Lipschitz condition
+Normal rank
@@ Property / cites work @@
+Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
+Normal rank
@@ Property / cites work @@
+Weak approximation of stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Weak discrete time approximation of stochastic differential equations with time delay
+Normal rank
@@ Property / cites work @@
+The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Convergence rate of numerical solutions to SFDEs with jumps
+Normal rank
@@ Property / cites work @@
+Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
+Normal rank
@@ Property / cites work @@
+A note on Euler's approximations
@@ Property / cites work: A note on Euler's approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of solutions of stochastic functional differential equations
+Normal rank
@@ Property / cites work @@
+On stochastic equations with respect to semimartingales I.<sup>†</sup>
+Normal rank
@@ Property / cites work @@
+A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone Coefficients
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank