Convergence of composite Euler method for solving stochastic differential equations

DOI10.15926/J.CNKI.ISSN1672-6871.2019.02.017zbMATH Open1438.60095MaRDI QIDQ5194232FDOQ5194232

Authors: Qian Jiang, Cai-Xia Wang, Yindi Zhang 

Publication date: 20 September 2019

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zbMATH Keywords

stochastic differential equationsconvergence orderglobal Lipschitz conditionlinear growth conditioncomposite Euler method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (6)

• Convergence of the composite Heun method for solving stochastic differential equations
• Title not available (Why is that?)
• The composite Euler method for stiff stochastic differential equations
• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
• Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments
• Convergence of the Euler scheme for a class of stochastic differential equations

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