Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift

This paper proposes an adaptive timestep construction for an Euler–Maruyama approximation of SDEs with nonglobally Lipschitz drift. It is proved that if the timestep is bounded appropriately, then over a finite time interval the numerical approximation is stable, and the expected number of timesteps...

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Détails bibliographiques
Auteurs principaux: Giles, M, Fang, W
Format: Journal article
Langue:English
Publié: Institution of Mathematical Statistics 2020