Abstract
This paper proposes an adaptive timestep construction for an Euler–Maruyama approximation of SDEs with nonglobally Lipschitz drift. It is proved that if the timestep is bounded appropriately, then over a finite time interval the numerical approximation is stable, and the expected number of timesteps is finite. Furthermore, the order of strong convergence is the same as usual, that is, order
Citation
Wei Fang. Michael B. Giles. "Adaptive Euler–Maruyama method for SDEs with nonglobally Lipschitz drift." Ann. Appl. Probab. 30 (2) 526 - 560, April 2020. https://doi.org/10.1214/19-AAP1507
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