Rate of convergence of Euler's approximations for SDEs with non-Lipschitz coefficients

DOI10.1007/S10114-013-2298-6zbMATH Open1270.60066OpenAlexW2132309272MaRDI QIDQ2392001FDOQ2392001

Jicheng Liu

Publication date: 6 August 2013

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-2298-6

zbMATH Keywords

stochastic differential equationsnon-LipschitzEuler's approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• A note on Euler's approximations
• A Simple Proof of the Existence of a Solution of Itô’s Equation with Monotone Coefficients
• The canonic diffusion above the diffeomorphism group of the circle
• Existence of strong solutions for Itô's stochastic equations via approximations
• Euler Polygonal Lines for Itô Equations with Monotone Coefficients
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• On a type of stochastic differential equations driven by countably many Brownian motions
• Modulus of continuity of the canonic Brownian motion ``on the group of diffeomorphisms of the circle
• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
• Extremal Properties of Solutions of Stochastic Equations

Cited In (6)

• Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• Euler scheme and measurable flows for stochastic differential equations with non-Lipschitz coefficients
• Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
• Title not available (Why is that?)
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth

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