Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence-Reference-Cited by-同舟云学术

Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

Published:2007-11-13 Issue: Volume:12 Page:1-11
ISSN:1292-8100
Container-title:ESAIM: Probability and Statistics
language:
Short-container-title:ESAIM: PS

Author:

Berkaoui Abdel,Bossy Mireille,Diop Awa

Publisher

EDP Sciences

Subject

Statistics and Probability

Link

http://www.esaim-ps.org/10.1051/ps:2007030/pdf

Reference10 articles.

1. On the discretization schemes for the CIR (and Bessel squared) processes

2. M. Bossy and A. Diop, Euler scheme for one dimensional SDEs with a diffusion coefficient function of the form |x|α,ain [ 1/2,1).Annals Appl. Prob.(Submitted).

3. A symmetrized Euler scheme for an efficient approximation of reflected diffusions

4. A Theory of the Term Structure of Interest Rates

Cited by 77 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients;Journal of Mathematical Analysis and Applications;2025-02

2. On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient;Journal of Complexity;2024-12

3. Convergence of a exponential tamed method for a general interest rate model;Applied Mathematics and Computation;2024-04

4. The modified truncated Euler–Maruyama method for stochastic differential equations with concave diffusion coefficients;Journal of Computational and Applied Mathematics;2024-04

5. The logarithmic truncated EM method with weaker conditions;Applied Numerical Mathematics;2024-04