Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
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Publication:819723
DOI10.1016/j.jmaa.2005.04.052zbMath1090.60055OpenAlexW1972100879MaRDI QIDQ819723
Publication date: 29 March 2006
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.04.052
Anticipative stochastic differential equationconvergence in \(p\)-th meanLarge deviation principleStochastic differential equation with non-Lipschitz coefficients
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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