Abstract
This paper is based on the analysis of the backward Euler method for stochastic differential equations. It is motivated by the paper (Hutzenthaler et al. Proc. R. Soc. A 467, 1563–1576, 2011), where authors studied the equations with superlinearly growing coefficients. The main goal of this paper is to reveal sufficient conditions of the strong and weak Lp-divergence of the backward Euler method at finite time, for all $p\in (0,\infty )$. Theoretical results are supported by examples.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have