Rate of convergence of Euler.s approximations for SDEs with non-Lipschitz coefficients

Authors
Liu, Ji Cheng
Citation
Liu, Ji Cheng, Rate of convergence of Euler.s approximations for SDEs with non-Lipschitz coefficients, Acta mathematica Sinica. English series (Print) , 29(8), 2013, pp. 1555-1568
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
29
Issue
8
Year of publication
2013
Pages
1555 - 1568
Database
ACNP
SICI code
Abstract
We prove that Euler.s approximations for stochastic differential equations driven by infinite many Brownian motions and with non-Lipschitz coefficients converge almost surely. Moreover, the rate of convergence is obtained.