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A note on Euler's Approximations

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Abstract

We prove that Euler's approximations for stochastic differential equations on domains of ℝd converge almost surely if the drift satisfies the monotonicity condition and the diffusion coefficient is Lipschitz continuous.

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Gyöngy, I. A note on Euler's Approximations. Potential Analysis 8, 205–216 (1998). https://doi.org/10.1023/A:1008605221617

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  • DOI: https://doi.org/10.1023/A:1008605221617

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