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In this paper, we aim to study strong convergence of theta-EM scheme for stochastic differential equations under a local one-sided Lipschitz condition. Since the existence and uniqueness of theta-EM solution… Click to show full abstract
In this paper, we aim to study strong convergence of theta-EM scheme for stochastic differential equations under a local one-sided Lipschitz condition. Since the existence and uniqueness of theta-EM solution cannot be guaranteed under the local one-sided Lipschitz condition, a modified theta-EM scheme is proposed, and strong convergence of the numerical solution to the exact solution is given.
Keywords:
local one;
one sided;
sided lipschitz;
scheme;
strong convergence
Journal Title: International Journal of Computer Mathematics
Year Published: 2021
Link to full text (if available)
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Journal Title: International Journal of Computer Mathematics
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!