Adaptive timestepping for SDEs with non-globally Lipschitz drift

<p>In this thesis, we focus on the numerical approximation of SDEs with a drift which is not globally Lipschitz, and corresponding sensitivity calculations.</p> <p>First, we propose an adaptive timestep construction for an Euler- Maruyama approximation of these SDEs over a finit...

Descripció completa

Dades bibliogràfiques
Autor principal: Fang, W
Altres autors: Giles, M
Format: Thesis
Idioma:English
Publicat: 2019
Matèries: