Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift

DOI10.1214/19-AAP1507zbMath1464.60061arXiv1609.08101MaRDI QIDQ2192733

Michael B. Giles, Wei Fang

Publication date: 17 August 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.08101

zbMATH Keywords

strong convergenceergodicityinvariant measureSDEEuler-Maruyamaadaptive time-step

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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