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

  • V. P. Zubchenko
  • Yu. S. Mishura
Article

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

Keywords

Interest Rate Random Process Stochastic Differential Equation Strong Convergence Wiener Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, Inc. 2011

Authors and Affiliations

  • V. P. Zubchenko
    • 1
  • Yu. S. Mishura
    • 1
  1. 1.KyivUkraine

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