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Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift

First Author: Fang W

Attributed to: Inference, COmputation and Numerics for Insights into Cities (ICONIC) funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/978-3-319-91436-7_11

Publication URI: http://dx.doi.org/10.1007/978-3-319-91436-7_11

Type: Book Chapter

Book Title: Monte Carlo and Quasi-Monte Carlo Methods (2018)

Page Reference: 217-234