Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
Work
Year: 2010
Type: article
Abstract: The stochastic Euler scheme is known to converge to the exact solution of a stochastic differential equation (SDE) with globally Lipschitz continuous drift and diffusion coefficients. Recent results e... more
Institutions Ludwig-Maximilians-Universität München, Urologische Klinik München, Princeton University, Goethe University Frankfurt
Cites: 27
Cited by: 334
Related to: 10
FWCI: 8.995
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green