Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

DOI10.1090/mcom/3146zbMath1432.65011arXiv1309.7657OpenAlexW2952002638WikidataQ115546375 ScholiaQ115546375MaRDI QIDQ4605703

Arnulf Jentzen, Xiao-Jie Wang, Martin Hutzenthaler

Publication date: 27 February 2018

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7657

zbMATH Keywords

stochastic differential equationnumerical approximationEuler schemeimplicit Euler schemeexponential momentsEuler-Maruyamastrong convergence ratetamed Euler scheme

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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