A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/120902318
Reference17 articles.
1. A patch that imparts unconditional stability to explicit integrators for Langevin-like equations
2. Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
3. Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
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