Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients

Martin Hutzenthaler, Arnulf Jentzen. Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients. Foundations of Computational Mathematics, 11(6):657-706, 2011. [doi]

Authors

Martin Hutzenthaler

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Arnulf Jentzen

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