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STRONG CONVERGENCE OF AN EXPLICIT NUMERICAL METHOD FOR SDES WITH NONGLOBALLY LIPSCHITZ CONTINUOUS COEFFICIENTS
Martin Hutzenthaler, Arnulf Jentzen and Peter E. KloedenVolume:
22
Language:
english
Journal:
The Annals of Applied Probability
DOI:
10.2307/41713370
Date:
August, 2012
File:
PDF, 2.11 MB
english, 2012