A novel approach to construct numerical methods for stochastic differential equations
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11075-013-9724-9.pdf
Reference9 articles.
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2. Hutzenthaler, M., Jentzen, A., Kloeden, P.E.: Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients. Ann. App. Probab. 22(4), 1611–1641 (2012)
3. Hutzenthaler, M., Jentzen, A., Kloeden, P.E.: Strong and weak divergence in finite time of Euler’s method for stochastic differential equations with non-globally Lipschitz continuous coefficients. Proc. R. Soc. A 467(2130), 1563–1576 (2011)
4. Higham, D., Mao, X., Stuart, A.: Strong convergence of Euler-type methods for nonlinear stochastic differential equations. SIAM J. Numer. Anal. 40, 1041–1063 (2002)
5. Mao, X., Szpruch, L.: Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients. J. Comput. Appl. Math. 238, 14–28 (2013)
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