Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

DOI10.4208/EAJAM.161121.090722zbMath1515.60254OpenAlexW4313517722MaRDI QIDQ6165526

Xiao-Juan Wu, Si-qing Gan

Publication date: 5 July 2023

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.161121.090722

zbMATH Keywords

stochastic differential equationsplit-step theta methodstrong convergence ratenon-globally Lipschitz coefficient

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence

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