























This paper is concerned with long-time strong approximations of SDEs with non-globally Lipschitz coefficients.Under certain non-globally Lipschitz conditions, a long-time version of fundamental strong convergence theorem is established for general one-step time discretization schemes. With the aid of the fundamental strong convergence theorem, we prove the expected strong convergence rate over infinite time for two types of schemes such as the backward Euler method and the projected Euler method in non-globally Lipschitz settings. Numerical examples are finally reported to confirm our findings.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。