Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
METADATA ONLY
Loading...
Author / Producer
Date
2013-11
Publication Type
Report
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Abstract
Exponential integrability properties of numerical approximations are a key tool towards establishing positive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations; cf. Cox et al. [3]. It turns out that well-known numerical approximation processes such as Euler-Maruyama approximations, linear-implicit Euler approximations and some tamed Euler approximations from the literature rarely preserve exponential integrability properties of the exact solution. The main contribution of this article is to identify a class of stopped increment-tamed Euler approximations which preserve exponential integrability properties of the exact solution under minor additional assumptions on the involved functions.
Permanent link
Publication status
published
Editor
Book title
Journal / series
Volume
2013-34
Pages / Article No.
Publisher
Seminar for Applied Mathematics, ETH Zurich
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Organisational unit
03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
Notes
Funding
Related publications and datasets
Is previous version of: