Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients-Reference-Cited by-同舟云学术

Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

Published:2012-02-10 Issue:1 Volume:85 Page:144-171
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Mao Xuerong¹,Szpruch Lukasz²

Affiliation:

1. b Mathematical Institute, University of Oxford , 24-29 St Giles, Oxford , OX1 3LB , UK

2. a Department of Mathematics and Statistics , University of Strathclyde , Glasgow , G1 1XH , Scotland, UK

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2011.651213

Reference31 articles.

1. A Parametric Nonlinear Model of Term Structure Dynamics

2. Testing Continuous-Time Models of the Spot Interest Rate

3. Moment explosions in stochastic volatility models

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