EULER–MARUYAMA APPROXIMATION FOR SDES WITH JUMPS AND NON-LIPSCHITZ COEFFICIENTS

Qiao, Hujie

Osaka Journal of Mathematics, 2014, 51(1), 47-66

アクセス数:157件（2025-05-11 10:32 集計）

固定URL: https://doi.org/10.18910/29191

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タイトル	EULER–MARUYAMA APPROXIMATION FOR SDES WITH JUMPS AND NON-LIPSCHITZ COEFFICIENTS
著者	著者名 Qiao, Hujie
抄録	In this paper we show that stochastic differential equations with jumps and non-Lipschitz coefficients have (ξ, W, N_p)-pathwise unique strong solutions by the Euler–Maruyama approximation. Moreover, the Euler–Maruyama discretisation has an optimal strong convergence rate.
出版者	Osaka University and Osaka City University, Departments of Mathematics
収録物名	Osaka Journal of Mathematics
巻(号)	51(1)
ページ	47-66
刊行年月	2014-01
言語	英語
ハンドルURL	https://hdl.handle.net/11094/29191
DOI	https://doi.org/10.18910/29191
PISSN	00306126
NCID	AA00765910
アクセス権	open access
出版タイプ	Version of Record
カテゴリ	紀要論文 Departmental Bulletin Paper
カテゴリ	Osaka Journal of Mathematics / Volume 51, Number 1　(2014-1）

資源タイプ	紀要論文
ローカル資源タイプ	紀要論文
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Osaka Journal of Mathematics. 2014, 51(1), p. 47-66
DC.title	EULER–MARUYAMA APPROXIMATION FOR SDES WITH JUMPS AND NON-LIPSCHITZ COEFFICIENTS
DC.creator	Qiao, Hujie
DC.publisher	Osaka University and Osaka City University, Departments of Mathematics
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2014-01
DCTERMS.abstract	In this paper we show that stochastic differential equations with jumps and non-Lipschitz coefficients have (ξ, W, N_p)-pathwise unique strong solutions by the Euler–Maruyama approximation. Moreover, the Euler–Maruyama discretisation has an optimal strong convergence rate.
DC.identifier	10.18910/29191
DC.format	29191
citation_title	EULER–MARUYAMA APPROXIMATION FOR SDES WITH JUMPS AND NON-LIPSCHITZ COEFFICIENTS
citation_author	Qiao, Hujie
citation_publisher	Osaka University and Osaka City University, Departments of Mathematics
citation_language	英語
citation_date	2014-01
citation_journal_title	Osaka Journal of Mathematics
citation_volume	51
citation_issue	1
citation_firstpage	47
citation_lastpage	66
citation_public_url	https://hdl.handle.net/11094/29191
citation_doi_detail	10.18910/29191
citation_doi	https://doi.org/10.18910/29191