Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
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Publication:2192733
DOI10.1214/19-AAP1507zbMath1464.60061arXiv1609.08101MaRDI QIDQ2192733
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
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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