- Start
- Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients
Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients
Angebote / Angebote:
Develops a general theory based on rare events for studying integrability properties such as moment bounds for discrete-time stochastic processes. Using this approach, the authors 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.
Folgt in ca. 15 Arbeitstagen