"Many stochastic differential equations (SDEs) in the literature have a super linearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler Maruyama approximation method diverge for these SDEs in finite time.…
"Many stochastic differential equations (SDEs) in the literature have a super linearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler Maruyama approximation method diverge for these SDEs in finite time.…
