Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift (Q1722519)
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scientific article; zbMATH DE number 7024264
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| English | Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift |
scientific article; zbMATH DE number 7024264 |
Statements
Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift (English)
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18 February 2019
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SDE
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Euler-Maruyama
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strong convergence
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adaptive timestep
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ergodicity
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MLMC
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0.963243842124939
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0.8391581177711487
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0.8359328508377075
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0.8245696425437927
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