Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients-Reference-Cited by-同舟云学术

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

Published:2013-01 Issue: Volume:238 Page:14-28
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Mao Xuerong,Szpruch Lukasz

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference43 articles.

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4. Strong convergence of Euler-type methods for nonlinear stochastic differential equations;Higham;SIAM Journal on Numerical Analysis,2002

5. Strong and weak divergence in finite time of Euler’s method for stochastic differential equations with non-globally Lipschitz continuous coefficients;Hutzenthaler;Proceedings of the Royal Society A: Mathematical, Physical and Engineering Science,2011

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