Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift (Q2192733)

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Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
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    title
    Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift (English)
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    DOI
    10.1214/19-AAP1507
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    author
    Wei Fang
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    Michael B. Giles
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    publication date
    17 August 2020
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    Mathematics Subject Classification ID
    60H10
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    60H35
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    65C30
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    zbMATH DE Number
    7236127
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    zbMATH Keywords
    SDE
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    Euler-Maruyama
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    strong convergence
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    adaptive time-step
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    ergodicity
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    invariant measure
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