Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

被引：11

作者：

Zhang, XC ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Dept Math, Wuhan 430074, Hubei, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2006年 / 316卷 / 02期

基金：

美国国家科学基金会;

关键词：

Euler-Maruyania approximation; non-Lipschitz; anticipative SDE; large deviation;

D O I：

10.1016/j.jmaa.2005.04.052

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in LP-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：447 / 458

页数：12

共 50 条

[1] EULER-MARUYAMA APPROXIMATION FOR SDES WITH JUMPS AND NON-LIPSCHITZ COEFFICIENTS
Qiao, Huijie
OSAKA JOURNAL OF MATHEMATICS, 2014, 51 (01) : 47 - 66
[2] Euler-Maruyama Approximations for Stochastic McKean-Vlasov Equations with Non-Lipschitz Coefficients
Ding, Xiaojie
Qiao, Huijie
JOURNAL OF THEORETICAL PROBABILITY, 2021, 34 (03) : 1408 - 1425
[3] Rate of convergence of Euler's approximations for SDEs with non-Lipschitz coefficients
Liu, Ji Cheng
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2013, 29 (08) : 1555 - 1568
[4] Rate of Convergence of Euler's Approximations for SDEs with Non-Lipschitz Coefficients
Ji Cheng LIU
Acta Mathematica Sinica,English Series, 2013, (08) : 1555 - 1568
[5] Rate of convergence of Euler’s approximations for SDEs with non-Lipschitz coefficients
Ji Cheng Liu
Acta Mathematica Sinica, English Series, 2013, 29 : 1555 - 1568
[6] Euler–Maruyama Approximations for Stochastic McKean–Vlasov Equations with Non-Lipschitz Coefficients
Xiaojie Ding
Huijie Qiao
Journal of Theoretical Probability, 2021, 34 : 1408 - 1425
[7] ADAPTIVE EULER-MARUYAMA METHOD FOR SDES WITH NONGLOBALLY LIPSCHITZ DRIFT
Fang, Wei
Giles, Michael B.
ANNALS OF APPLIED PROBABILITY, 2020, 30 (02): : 526 - 560
[8] Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
Mao, Xuerong
Yuan, Chenggui
Yin, G.
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2007, 205 (02) : 936 - 948
[9] The improvement of the truncated Euler-Maruyama method for non-Lipschitz stochastic differential equations
Zhan, Weijun
Li, Yuyuan
ADVANCES IN COMPUTATIONAL MATHEMATICS, 2024, 50 (03)
[10] Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
Neuenkirch, Andreas
Zaehle, Henryk
MONTE CARLO METHODS AND APPLICATIONS, 2009, 15 (04): : 333 - 351

← 1 2 3 4 5 →