Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure
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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.
KeywordsInterest Rate Random Process Stochastic Differential Equation Strong Convergence Wiener Process
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- 2.M. Bossy and A. Diop, Euler Scheme for One-Dimensional SDEs with a Diffusion Coefficient Function of the Form ∣x∣α, α ∈ [1/2, 1), INRIA, Sophia-Antipolis, France (2006).Google Scholar
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