Numerical Approximations of Stochastic Differential Equations with Non Globally Lipschitz Continuous Coefficients is popular PDF and ePub book, written by Martin Hutzenthaler in 2015-06-26, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Numerical Approximations of Stochastic Differential Equations with Non Globally Lipschitz Continuous Coefficients can be Read Online from any device for your convenience.
Numerical Approximations of Stochastic Differential Equations with Non Globally Lipschitz Continuous Coefficients Book PDF Summary
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge for these SDEs in finite time. This article develops a general theory based on rare events for studying integrability properties such as moment bounds for discrete-time stochastic processes. Using this approach, the authors establish moment bounds for fully and partially drift-implicit Euler methods and for a class of new explicit approximation methods which require only a few more arithmetical operations than the Euler-Maruyama method. These moment bounds are then used to prove strong convergence of the proposed schemes. Finally, the authors illustrate their results for several SDEs from finance, physics, biology and chemistry.
Detail Book of Numerical Approximations of Stochastic Differential Equations with Non Globally Lipschitz Continuous Coefficients PDF
- Author : Martin Hutzenthaler
- Release : 26 June 2015
- Publisher : American Mathematical Soc.
- ISBN : 9781470409845
- Genre : Mathematics
- Total Page : 112 pages
- Language : English
- PDF File Size : 13,9 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Numerical Approximations of Stochastic Differential Equations with Non Globally Lipschitz Continuous Coefficients by Martin Hutzenthaler, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.