Journal article 682 views
A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions
International Journal of Computer Mathematics, Volume: 98, Issue: 2, Pages: 238 - 251
Swansea University Author:
Chenggui Yuan
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DOI (Published version): 10.1080/00207160.2020.1737861
Abstract
A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions
Published in: | International Journal of Computer Mathematics |
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ISSN: | 0020-7160 1029-0265 |
Published: |
Informa UK Limited
2021
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Online Access: |
Check full text
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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 |
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College: |
Faculty of Science and Engineering |
Issue: |
2 |
Start Page: |
238 |
End Page: |
251 |