Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

摘要: On the one hand, explicit Euler scheme fails to converge strongly exact solution of a stochastic differential equation (SDE) with superlinearly growing and globally one-sided Lipschitz continuous drift coefficient. other implicit is known such an SDE. Implementations scheme, however, require additional computational effort. In this article we therefore propose easily implementable numerical method for SDE show that converges standard order one-half Simulations reveal convergent considerably faster than scheme.