Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients /
"Many stochastic differential equations (SDEs) in the literature have a super linearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler Maruyama approximation method diverge for these SDEs in finite time. This article de...
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| Main Authors: | , |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Providence, Rhode Island :
American Mathematical Society,
2015.
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| Series: | Memoirs of the American Mathematical Society ;
no. 1112. |
| Subjects: | |
| Online Access: |
Full text (Emmanuel users only) |