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A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions

Li Tan, Chenggui Yuan Orcid Logo

International Journal of Computer Mathematics, Volume: 98, Issue: 2, Pages: 238 - 251

Swansea University Author: Chenggui Yuan Orcid Logo

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Published in: International Journal of Computer Mathematics
ISSN: 0020-7160 1029-0265
Published: Informa UK Limited 2021
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa53882
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Keywords: Stochastic differential equations, implicit scheme, local one-sided Lipschitz, strong convergence, discrete Gronwall inequality
College: Faculty of Science and Engineering
Issue: 2
Start Page: 238
End Page: 251