Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

2 references·16 citing·25 second hop

FromToDepth

this work references cited by second hop

References

2016Numerical solution of stochastic differential equations5,001 cited
1997Stochastic differential equations and their applications1,351 cited

Cited by

2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients428 cited
2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients227 cited
2013A note on tamed Euler approximations185 cited
2019On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations134 cited
2020On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients128 cited
2012Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients113 cited
2015Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients86 cited
2015Loss of regularity for Kolmogorov equations81 cited
2013Convergence, non-negativity and stability of a new Milstein scheme with applications to finance79 cited
2013Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations78 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2020

Simulation of McKean–Vlasov SDEs with super-linear growth

68 cited

2016An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients64 cited

2016Efficient simulation of nonlinear parabolic spdes with additive noise60 cited

2020Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition58 cited

2020Adaptive Euler–Maruyama method for SDEs with nonglobally Lipschitz drift54 cited

2011Efficient simulation of nonlinear parabolic SPDEs with additive noise51 cited