Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients
DOI10.1016/j.spa.2019.07.003OpenAlexW2963272791WikidataQ127467867 ScholiaQ127467867MaRDI QIDQ1986026
Jaime San Martín, Lisha Qiu, Philip E. Protter
Publication date: 7 April 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.04480
stochastic differential equationweak convergenceEuler schemeconvergence in probabilitylocally Lipschitznormalized error process
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
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