First order strong approximations of scalar SDEs defined in a domain

2014/01/31 by Andreas Neuenkirch, Łukasz Szpruch, Lukasz Szpruch · 143 citations
Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Computer science #Domain (mathematical analysis) #Financial Risk and Volatility Modeling #Lipschitz continuity #Mathematical analysis #Mathematics #Monetary Policy and Economic Impact #Numerical analysis #Rate of convergence #Scalar (mathematics) #Stochastic differential equation #Stochastic processes and financial applications

paper · doi:10.1007/s00211-014-0606-4

published in Numerische Mathematik 128(1), 103-136 (Springer Science+Business Media)

openalex publication_date 2014/01/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Citations

• Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients

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