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

2008/11/26 by Arnulf Jentzen, A. Jentzen, P. E. Kloeden +3 · 3 citations
Economics, Econometrics and Finance · Computer Science · Mathematics · #Stochastic processes and financial applications #Advanced Mathematical Modeling in Engineering #Differential Equations and Numerical Methods

paper · doi:10.1007/s00211-008-0200-8

Cited by

• First order strong approximations of scalar SDEs defined in a domain
• Boundary-preserving Lamperti--Itô--Taylor approximations for some stochastic differential equations
• Unconditionally positivity-preserving explicit order-one strong approximations of financial SDEs with non-Lipschitz coefficients