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Divergence of the backward Euler method for ordinary stochastic differential equations.
- Source :
- Numerical Algorithms; Dec2019, Vol. 82 Issue 4, p1395-1407, 13p
- Publication Year :
- 2019
-
Abstract
- This paper is based on the analysis of the backward Euler method for stochastic differential equations. It is motivated by the paper (Hutzenthaler et al. Proc. R. Soc. A 467, 1563–1576, 2011), where authors studied the equations with superlinearly growing coefficients. The main goal of this paper is to reveal sufficient conditions of the strong and weak L<superscript>p</superscript>-divergence of the backward Euler method at finite time, for all p ∈ (0 , ∞) . Theoretical results are supported by examples. [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCHASTIC differential equations
ORDINARY differential equations
EULER method
Subjects
Details
- Language :
- English
- ISSN :
- 10171398
- Volume :
- 82
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Numerical Algorithms
- Publication Type :
- Academic Journal
- Accession number :
- 139744671
- Full Text :
- https://doi.org/10.1007/s11075-019-00661-6