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1. | Department of Mathematics, University of the Aegean, Karlovassi 83200 Samos, Greece |
References:
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N. Halidias, A novel approach to construct numerical methods for stochastic differential equations, Numer Algor, 66 (2014), 79-87.
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D. J. Higham, X. Mao and L. Szpruch, Convergence, non-negativity and stability of a new Milstein scheme with applications to finance, Discrete and Continuous Dynamical Systems - Series B, 18 (2013), 2083-2100.
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D. Higham, X. Mao and A. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal., 40 (2002), 1041-1063.
doi: 10.1137/S0036142901389530. |
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M. Hutzenthaler, A. Jentzen and P. E. Kloeden, Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients, Ann. App. Probab., 22 (2012), 1611-1641.
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M. Hutzenthaler and A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients,, To appear in Mem. Amer. Math. Soc., ().
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W. Liu and X. Mao, Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations, Applied Mathematics and Computation, 223 (2013), 389-400.
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A. Neuenkirch and L. Szpruch, First order strong approximations of scalar SDEs with values in a domain, Num. Math., 128 (2014), 103-136.
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show all references
References:
[1] |
N. Halidias, A novel approach to construct numerical methods for stochastic differential equations, Numer Algor, 66 (2014), 79-87.
doi: 10.1007/s11075-013-9724-9. |
[2] |
D. J. Higham, X. Mao and L. Szpruch, Convergence, non-negativity and stability of a new Milstein scheme with applications to finance, Discrete and Continuous Dynamical Systems - Series B, 18 (2013), 2083-2100.
doi: 10.3934/dcdsb.2013.18.2083. |
[3] |
D. Higham, X. Mao and A. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal., 40 (2002), 1041-1063.
doi: 10.1137/S0036142901389530. |
[4] |
M. Hutzenthaler, A. Jentzen and P. E. Kloeden, Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients, Ann. App. Probab., 22 (2012), 1611-1641.
doi: 10.1214/11-AAP803. |
[5] |
M. Hutzenthaler and A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients,, To appear in Mem. Amer. Math. Soc., ().
|
[6] |
W. Liu and X. Mao, Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations, Applied Mathematics and Computation, 223 (2013), 389-400.
doi: 10.1016/j.amc.2013.08.023. |
[7] |
A. Neuenkirch and L. Szpruch, First order strong approximations of scalar SDEs with values in a domain, Num. Math., 128 (2014), 103-136.
doi: 10.1007/s00211-014-0606-4. |
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