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

DOI10.1007/S11253-011-0487-YMaRDI QIDQ765113zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A theory of the term structure of interest rates
• Convergence of discretized stochastic (interest rate) processes with stochastic drift term
• 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
• 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

Cited in

(5)

• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• Optimal control in diffusion stochastic nonlinear functional-differential ITO equations with Markov parameters and external Markov switching
• 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

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