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

Authors

  • 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.

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Published

25.01.2011

Issue

Vol. 63 No. 1 (2011)

Section

Research articles

How to Cite

Zubchenko, V. P., and Yu. 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.