Rate of Convergence of Euler's Approximations for SDEs with Non-Lipschitz Coefficients  

作　　者：Ji Cheng LIU 

机构地区：[1]School of Mathematics and Statistics,Huazhong University of Science and Technology [2]Department of Statistics,Purdue University

出　　处：《Acta Mathematica Sinica,English Series》2013年第8期1555-1568,共14页数学学报（英文版）

基　　金：Supported by National Natural Science Foundation of China (Grant Nos.10901065 and 11271013);Fundamental Research Funds for the Central Universities,Huazhong University of Science and Technology (Grant No.2012QN028)

摘　　要：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.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.

关 键 词：Stochastic differential equations NON-LIPSCHITZ Euler＇s approximations 

分 类 号：O211.63[理学—概率论与数理统计]