Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

DOI10.4208/eajam.161121.090722zbMath1515.60254MaRDI QIDQ6165526

Xiao-Juan Wu, Si-qing Gan

Publication date: 5 July 2023

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.161121.090722

zbMATH Keywords

stochastic differential equation; split-step theta method; strong convergence rate; non-globally Lipschitz coefficient

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

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

65C30: Numerical solutions to stochastic differential and integral equations

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