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
收藏
页码：447 / 458
页数：12
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