Weak approximation schemes for SDEs with super-linearly growing coefficients (Q6546887)

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Weak approximation schemes for SDEs with super-linearly growing coefficients

scientific article; zbMATH DE number 7856300

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English	Weak approximation schemes for SDEs with super-linearly growing coefficients	scientific article; zbMATH DE number 7856300

Statements

instance of

scholarly article

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title

Weak approximation schemes for SDEs with super-linearly growing coefficients (English)

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Applied Numerical Mathematics

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publication date

30 May 2024

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zbMATH Keywords

stochastic differential equations

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Euler methods

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weak convergence rate

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MaRDI profile type

MaRDI publication profile

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cites work

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The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

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Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions

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Q3702223

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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Q3917262

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Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

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Q4786851

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Expansion of the global error for numerical schemes solving stochastic differential equations

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A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications

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Numerical methods for stochastic partial differential equations with white noise

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.APNUM.2024.01.003

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Sitelinks

Mathematics(1 entry)

mardi Weak approximation schemes for SDEs with super-linearly growing coefficients