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• W2067639513 abstract "In this paper, we are concerned with the numerical approximation of stochastic differential equations with discontinuous/nondifferentiable drifts. We show that under one-sided Lipschitz and general growth conditions on the drift and global Lipschitz condition on the diffusion, a variant of the implicit Euler method known as the split-step backward Euler (SSBE) method converges with strong order of one half to the true solution. Our analysis relies on the framework developed in [D. J. Higham, X. Mao and A. M. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM Journal on Numerical Analysis, 40 (2002) 1041–1063] and exploits the relationship which exists between explicit and implicit Euler methods to establish the convergence rate results." @default.
• W2067639513 created "2016-06-24" @default.
• W2067639513 creator A5002661228 @default.
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• W2067639513 date "2012-01-01" @default.
• W2067639513 modified "2023-09-28" @default.
• W2067639513 title "Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift" @default.
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• W2067639513 doi "https://doi.org/10.1016/j.cam.2011.10.023" @default.
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