The truncated Euler–Maruyama method for stochastic differential equations

Published 2015 View Full Article

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Title
The truncated Euler–Maruyama method for stochastic differential equations
Authors
Keywords
Stochastic differential equation, Local Lipschitz condition, Khasminskii-type condition, Truncated Euler–Maruyama method, Strong convergence
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 290, Issue -, Pages 370-384
Publisher
Elsevier BV
Online
2015-06-12
DOI
10.1016/j.cam.2015.06.002

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