Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

Xicheng Zhang

doi:10.1016/j.jmaa.2005.04.052

Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

Xicheng Zhang^*

^*Corresponding author for this work

Huazhong University of Science and Technology

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in L_p-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition.

Original language	English
Pages (from-to)	447-458
Number of pages	12
Journal	Journal of Mathematical Analysis and Applications
Volume	316
Issue number	2
DOIs	https://doi.org/10.1016/j.jmaa.2005.04.052
Publication status	Published - 15 Apr 2006
Externally published	Yes

Keywords

Anticipative SDE
Euler-Maruyama approximation
Large deviation
Non-Lipschitz

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10.1016/j.jmaa.2005.04.052

Cite this

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abstract = "In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in Lp-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition.",

keywords = "Anticipative SDE, Euler-Maruyama approximation, Large deviation, Non-Lipschitz",

author = "Xicheng Zhang",

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AU - Zhang, Xicheng

PY - 2006/4/15

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N2 - In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in Lp-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition.

AB - In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in Lp-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition.

KW - Anticipative SDE

KW - Euler-Maruyama approximation

KW - Large deviation

KW - Non-Lipschitz

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U2 - 10.1016/j.jmaa.2005.04.052

DO - 10.1016/j.jmaa.2005.04.052

M3 - Article

AN - SCOPUS:29844450895

SN - 0022-247X

VL - 316

SP - 447

EP - 458

JO - Journal of Mathematical Analysis and Applications

JF - Journal of Mathematical Analysis and Applications

IS - 2

ER -

Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

Abstract

Keywords

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