Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

DOI10.1090/memo/1112zbMath1330.60084arXiv1203.5809OpenAlexW2952838789MaRDI QIDQ2944996

Arnulf Jentzen, Martin Hutzenthaler

Publication date: 9 September 2015

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.5809

zbMATH Keywords

strong convergencerare eventsstochastic differential equationsmathematical financenumerical approximationsLyapunov conditionlocal Lipschitz condition

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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