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

  • V. P. Zubchenko Київ. нац. ун-т iм. Т. Шевченка
  • Yu. S. Mishura Київ. нац. ун-т iм. Т. Шевченка

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.
Published
25.01.2011
How to Cite
Zubchenko, V. P., and Y. S. Mishura. “Rate of Convergence in the Euler Scheme for Stochastic Differential Equations With Non-Lipschitz Diffusion and Poisson Measure”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 63, no. 1, Jan. 2011, pp. 40-60, https://umj.imath.kiev.ua/index.php/umj/article/view/2697.
Section
Research articles