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...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Institution of Mathematical Statistics
2020
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