Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

@article{Hutzenthaler2018ExponentialIP,
  title={Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations},
  author={M. Hutzenthaler and A. Jentzen and X. Wang},
  journal={Math. Comput.},
  year={2018},
  volume={87},
  pages={1353-1413}
}
  • M. Hutzenthaler, A. Jentzen, X. Wang
  • Published 2018
  • Computer Science, Mathematics
  • Math. Comput.
  • Exponential integrability properties of numerical approximations are a key tool for establishing posi- tive rates of strong and numerically weak convergence for a large class of nonlinear stochastic differential equations. It turns out that well-known numerical approximation processes such as Euler-Maruyama ap- proximations, linear-implicit Euler approximations and some tamed Euler approximations from the literature rarely preserve exponential integrability properties of the exact solution. The… CONTINUE READING

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