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Strong convergence of a semi tamed scheme for stochastic differential algebraic equation under non-global Lipschitz coefficients
Guy Tsafack, Antoine Tambue
We are investigating the first strong convergence analysis of a numerical method for stochastic differential algebraic equations (SDAEs) under a non-global Lipschitz setting. It is…
math.NA2025
Pathwise convergence of a novel numerical scheme based on semi-implicit method for stochastic differential-algebraic equations with non-global Lipschitz coefficients
Guy Tsafack, Antoine Tambue
This paper delves into the well-posedness and the numerical approximation of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear local Lipschitz coeff…