Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

DOI10.1214/11-AAP803zbMath1256.65003arXiv1010.3756MaRDI QIDQ453249

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden

Publication date: 19 September 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3756

zbMATH Keywords

stochastic differential equation; numerical example; strong approximation; implicit Euler scheme; backward Euler scheme; Euler-Maruyama; nonglobally Lipschitz; superlinearly growing coefficient; tamed Euler method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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