Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
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DOI: 10.1016/j.apnum.2016.09.013
Abstract: Abstract We introduce a class of explicit balanced schemes for stochastic differential equations with coefficients of superlinearly growth satisfying a global monotone condition. The first scheme is a balanced Euler scheme and is of order… read more here.
Keywords: order preserving; order; schemes sdes; preserving strong ... See more keywords