Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

DOI10.1137/040612026zbMath1102.60059OpenAlexW1995290527MaRDI QIDQ5700310

M. V. Tretyakov, Grigori N. Milstein

Publication date: 28 October 2005

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/040612026

zbMATH Keywords

approximationnonglobally Lipschitz condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)

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