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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.
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| Colección: | Memoirs of the American Mathematical Society ;
no. 1112. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Introduction
- Integrability properties of approximation processes for SDEs
- Convergence properties of approximation processes for SDEs
- Examples of SDEs
- Bibliography.