Estimates for the difference between approximate and exact solutions to stochastic differential equations in the G-framework
Probability
2018-09-27 v1
Abstract
This article investigates the Euler-Maruyama approximation procedure for stochastic differential equations in the framework of G-Browinian motion with non-linear growth and non-Lipschitz conditions. Subject to non-linear growth condition, it is revealed that the Euler-Maruyama approximate solutions are bounded in M^2_G.In view ofnon-linear growth and non-uniform Lipschitz conditions,we give estimates for the difference between the exact solution Z(t) and approximate solutions Zq(t) of SDEs in the framework of G-Brownia nmotion.
Cite
@article{arxiv.1809.10062,
title = {Estimates for the difference between approximate and exact solutions to stochastic differential equations in the G-framework},
author = {Faiz Faizullah and Ilyas Khan and Mukhtar M. Salah and Ziyad Ali Alhussain},
journal= {arXiv preprint arXiv:1809.10062},
year = {2018}
}