A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

M. V. Tretyakov, Zhongqiang Zhang. A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications. SIAM J. Numerical Analysis, 51(6):3135-3162, 2013. [doi]

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