Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation

DOI10.1016/j.cam.2021.113704zbMath1481.65021arXiv2106.11425OpenAlexW3179995546MaRDI QIDQ2050920

Utku Erdogan, Gabriel J. Lord

Publication date: 1 September 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.11425

zbMATH Keywords

stochastic differential equationsexponential integratorone-sided Lipschitz drift coefficient

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach

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