A note on tamed Euler approximations
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Publication:743014
DOI10.1214/ECP.v18-2824zbMath1329.60237arXiv1303.5504OpenAlexW2105277645MaRDI QIDQ743014
Publication date: 22 September 2014
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.5504
rate of convergencestochastic differential equationsmonotonicity conditionlocal Lipschitz conditionEuler approximations
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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