Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

DOI10.1098/rspa.2010.0348zbMath1228.65014arXiv0905.0273OpenAlexW2951662467MaRDI QIDQ3104819

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden

Publication date: 17 December 2011

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.0273

zbMATH Keywords

weak approximationstrong approximationEuler schemestrong divergenceweak divergencenon-globally Lipschitz continuous

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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