Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

DOI10.1016/j.cam.2015.09.035zbMath1378.65036OpenAlexW1946723472MaRDI QIDQ898961

Xuerong Mao

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.09.035

zbMATH Keywords

stochastic differential equationconvergence ratelocal Lipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) (L^p)-limit theorems (60F25)

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Uses Software

• Mathematica

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