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 equationnumerical examplestrong approximationimplicit Euler schemebackward Euler schemeEuler-Maruyamanonglobally Lipschitzsuperlinearly growing coefficienttamed Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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