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20072025
most citedStrong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

443 citations · 2.4k across the 59 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

math.NA2013★ 66 cited

Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

Martin Hutzenthaler, Arnulf Jentzen, Xiaojie Wang

Exponential integrability properties of numerical approximations are a key tool for establishing positive rates of strong and numerically weak convergence for a large class of nonl…

math.PR2013★ 58 cited

Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations

Sonja Cox, Martin Hutzenthaler, Arnulf Jentzen

Recently, Hairer et. al (2012) showed that there exist SDEs with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipsc…