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Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients
- Source :
- International Journal of Computer Mathematics. 99:1224-1271
- Publication Year :
- 2021
- Publisher :
- Informa UK Limited, 2021.
-
Abstract
- In this paper, we consider stochastic differential equations with locally Lipschitz coefficients. Two classes of balanced Euler method are presented. Their moment boundedness and their convergence ...
- Subjects :
- Applied Mathematics
Lipschitz continuity
Stability (probability)
Computer Science Applications
Euler method
Moment (mathematics)
symbols.namesake
Stochastic differential equation
Computational Theory and Mathematics
Convergence (routing)
Euler's formula
symbols
Applied mathematics
Mathematics
Subjects
Details
- ISSN :
- 10290265 and 00207160
- Volume :
- 99
- Database :
- OpenAIRE
- Journal :
- International Journal of Computer Mathematics
- Accession number :
- edsair.doi...........0e19191830f7e6b1229134c7baaa9f80