Abstract
A new class of explicit Euler schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that these explicit schemes converge in probability and in
Citation
Sotirios Sabanis. "Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients." Ann. Appl. Probab. 26 (4) 2083 - 2105, August 2016. https://doi.org/10.1214/15-AAP1140
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