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.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 63, No. 1, pp. 40–60, January, 2011.
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Zubchenko, V.P., Mishura, Y.S. Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure. Ukr Math J 63, 49 (2011). https://doi.org/10.1007/s11253-011-0487-y
- Interest Rate
- Random Process
- Stochastic Differential Equation
- Strong Convergence
- Wiener Process