Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
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Publication:3405600
DOI10.1515/MCMA.2009.018zbMath1181.65015OpenAlexW2073025003MaRDI QIDQ3405600
Henryk Zähle, Andreas Neuenkirch
Publication date: 10 February 2010
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2009.018
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17)
Cites Work
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Periodic behavior of the stochastic Brusselator in the mean-field limit
- On mixing and stability of limit theorems
- A note on Euler's approximations
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Euler scheme for reflected stochastic differential equations
- A Theory of the Term Structure of Interest Rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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