Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift (2020)

First Author: Fang W
Attributed to:  Development of Multilevel Monte Carlo Algorithms for Mathematical Finance funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1214/19-aap1507

Publication URI: http://dx.doi.org/10.1214/19-aap1507

Type: Journal Article/Review

Parent Publication: The Annals of Applied Probability

Issue: 2