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2013 A note on tamed Euler approximations
Sotirios Sabanis
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Electron. Commun. Probab. 18: 1-10 (2013). DOI: 10.1214/ECP.v18-2824

Abstract

Strong convergence results on tamed Euler schemes, which approximate stochastic differential equations with superlinearly growing drift coefficients that are locally one-sided Lipschitz continuous, are presented in this article. The diffusion coefficients are assumed to be locally Lipschitz continuous and have at most linear growth. Furthermore, the classical rate of convergence, i.e. one-half, for such schemes is recovered when the local Lipschitz continuity assumptions are replaced by global and, in addition, it is assumed that the drift coefficients satisfy polynomial Lipschitz continuity.

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Sotirios Sabanis. "A note on tamed Euler approximations." Electron. Commun. Probab. 18 1 - 10, 2013. https://doi.org/10.1214/ECP.v18-2824

Information

Accepted: 13 June 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60237
MathSciNet: MR3070913
Digital Object Identifier: 10.1214/ECP.v18-2824

Subjects:
Primary: 60H35

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