Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
Hutzenthaler M, Jentzen A, Kloeden PE
Research article (journal) | Peer reviewedDetails about the publication
Journal: Annals of Applied Probability
Volume: 22
Issue: 4
Page range: 1611-1641
Status: Published
Release year: 2012
Language in which the publication is written: English
Keywords: Backward Euler scheme; Euler scheme; Euler–Maruyama; implicit Euler scheme; nonglobally Lipschitz; Stochastic differential equation; strong approximation; superlinearly growing coefficient; tamed Euler scheme
Authors from the University of Münster
| Jentzen, Arnulf | Institute for Analysis and Numerics |