activity
19992025
most citedStrong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

443 citations · 1.2k across the 25 of their papers we have counts for

collaborators
Showing 2012 · math.NAShow all

1 paper · 2 filters

math.NA2012

Convergence of numerical methods for stochastic differential equations in mathematical finance

Peter Kloeden, Andreas Neuenkirch

Many stochastic differential equations that occur in financial modelling do not satisfy the standard assumptions made in convergence proofs of numerical schemes that are given in t…