Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift-Reference-Cited by-同舟云学术

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Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

Published:2012-01 Issue:7 Volume:236 Page:1903-1918
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Foroush Bastani Ali,Tahmasebi Mahdieh

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference35 articles.

1. The Numerical Solution of Stochastic Differential Equations;Kloeden,1992

2. Stochastic Differential Equations, An Introduction with Applications;Øksendal,2003

3. Threshold ARMA processes in continuous time;Brockwell,1993

4. Rigid-body dynamics with friction and impact;Stewart;SIAM Review,2000

5. Large deviations for singular and degenerate diffusion models in adaptive evolution;Champagnat;Markov Processes and Related Fields,2009

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