Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

DOI10.1007/S11253-011-0487-YzbMATH Open1235.60086OpenAlexW1973102025MaRDI QIDQ765113FDOQ765113

Authors: V. P. Zubchenko, Yuliya S. Mishura 

Publication date: 19 March 2012

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-011-0487-y

zbMATH Keywords

non-Lipschitz diffusionEuler scheme for stochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

Cites Work

• A theory of the term structure of interest rates
• Convergence of discretized stochastic (interest rate) processes with stochastic drift term
• Title not available (Why is that?)
• Strong approximations of stochastic differential equations with jumps
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
• Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure

Cited In (5)

• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Strong approximations for stochastic differential equations with boundary conditions
• The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition
• Optimal control in diffusion stochastic nonlinear functional-differential ITO equations with Markov parameters and external Markov switching

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