A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications (Q5397607)
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scientific article; zbMATH DE number 6260982
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| English | A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications |
scientific article; zbMATH DE number 6260982 |
Statements
A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications (English)
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24 February 2014
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SDEs with nonglobally Lipschitz coefficients
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numerical integration of SDEs in the mean-square sense
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balanced methods
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fully implicit methods
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strong convergence
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almost sure convergence
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0.839558482170105
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0.8198862075805664
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0.8133738040924072
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0.793039083480835
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