Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients

Author:

Jentzen A.,Kloeden P. E.,Neuenkirch A.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics

Reference25 articles.

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3. Arnold L.: Random Dynamical Systems. Springer, Berlin (1998)

4. Bossy, M., Diop, A.: An efficient discretisation scheme for one dimensional SDEs with a diffusion coefficient function of the form |x| α , α ∈ [1/2,1). Working paper (2004)

5. Deelstra G., Delbaen F.: Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Appl. Stoch. Models Data Anal. 14, 77–84 (1998)

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