2017
Том 69
№ 9

All Issues

Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

Mishura Yu. S., Zubchenko V. P.

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Abstract

We study the rate of convergence and some other properties of the Euler scheme for stochastic differential equations with the non-Lipschitz diffusion and the Poisson measure.

English version (Springer): Ukrainian Mathematical Journal 63 (2011), no. 1, pp 49-73.

Citation Example: Mishura Yu. S., Zubchenko V. P. Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure // Ukr. Mat. Zh. - 2011. - 63, № 1. - pp. 40-60.

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