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Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients

Authors :
Rui Li
Wei Zhang
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 ...

Details

ISSN :
10290265 and 00207160
Volume :
99
Database :
OpenAIRE
Journal :
International Journal of Computer Mathematics
Accession number :
edsair.doi...........0e19191830f7e6b1229134c7baaa9f80