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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients /
"Many stochastic differential equations (SDEs) in the literature have a super linearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler Maruyama approximation method diverge for these SDEs in finite time. This article de...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Providence, Rhode Island :
American Mathematical Society,
2015.
|
| Colección: | Memoirs of the American Mathematical Society ;
no. 1112. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 020 | |z 9781470409845 |q (alk. paper) | ||
| 020 | |z 1470409844 |q (alk. paper) | ||
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| 100 | 1 | |a Hutzenthaler, Martin, |d 1978- |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjtv9Gw686FtKhm3HHvcxC | |
| 245 | 1 | 0 | |a Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients / |c Martin Hutzenthaler, Arnulf Jentzen. |
| 264 | 1 | |a Providence, Rhode Island : |b American Mathematical Society, |c 2015. | |
| 264 | 4 | |c ©2014 | |
| 300 | |a 1 online resource (v, 99 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Memoirs of the American Mathematical Society, |x 0065-9266, |x 1947-6221 ; |v volume 236, number 1112 | |
| 588 | 0 | |a Print version record. | |
| 500 | |a "Volume 236, number 1112 (second of 6 numbers), July 2015." | ||
| 504 | |a Includes bibliographical references (pages 95-99). | ||
| 520 | |a "Many stochastic differential equations (SDEs) in the literature have a super linearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler Maruyama approximation method diverge for these SDEs in finite time. This article develops a general theory based on rare events for studying integrability properties such as moment bounds for discrete time stochastic processes. Using this approach, we establish moment bounds for fully and partially drift implicit Euler methods and for a class of new explicit approximation methods which require only a few more arithmetical operations than the Euler-Maruyama method. These moment bounds are then used to prove strong convergence of the proposed schemes. Finally, we illustrate our results for several SDEs from finance, physics, biology and chemistry."--Page v | ||
| 505 | 0 | |a Introduction -- Integrability properties of approximation processes for SDEs -- Convergence properties of approximation processes for SDEs -- Examples of SDEs -- Bibliography. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Stochastic differential equations. | |
| 650 | 0 | |a Differential operators. | |
| 650 | 6 | |a Équations différentielles stochastiques. | |
| 650 | 6 | |a Opérateurs différentiels. | |
| 650 | 7 | |a Differential operators |2 fast | |
| 650 | 7 | |a Stochastic differential equations |2 fast | |
| 700 | 1 | |a Jentzen, Arnulf, |e author. | |
| 710 | 2 | |a American Mathematical Society, |e publisher. | |
| 758 | |i has work: |a Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGCcrgpg3GKKJMM3YRKXtX |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Hutzenthaler, Martin, 1978- |t Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients. |d Providence, RI : American Mathematical Society, 2015 |z 9781470409845 |w (DLC) 2015007761 |w (OCoLC)907132691 |
| 830 | 0 | |a Memoirs of the American Mathematical Society ; |v no. 1112. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=4832007 |z Texto completo |
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