Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

DOI10.1214/11-AAP803zbMath1256.65003arXiv1010.3756MaRDI QIDQ453249

Arnulf Jentzen, Peter E. Kloeden, Martin Hutzenthaler

Publication date: 19 September 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3756

zbMATH Keywords

stochastic differential equation; numerical example; strong approximation; implicit Euler scheme; backward Euler scheme; Euler-Maruyama; nonglobally Lipschitz; superlinearly growing coefficient; tamed Euler method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations, First order strong approximations of scalar SDEs defined in a domain, A novel approach to construct numerical methods for stochastic differential equations

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