Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients

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

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · The Annals of Applied Probability · 2012 · 439 citations · Full text

Engineering, Computational Engineering, Differential Equations +14

The truncated Euler–Maruyama method for stochastic differential equations

Xuerong Mao · Journal of Computational and Applied Mathematics · 2015 · 285 citations · Full text

Natural Sciences, Mathematics, Differential Equations +9

Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients

Sotirios Sabanis · The Annals of Applied Probability · 2016 · 176 citations · Full text

Engineering, Mathematics, Differential Equations +14

Convergence rates of the truncated Euler–Maruyama method for stochastic differential equations

Xuerong Mao · Journal of Computational and Applied Mathematics · 2015 · 156 citations · Full text

Natural Sciences, Mathematics, Differential Equations +15

A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

SIAM Journal on Numerical Analysis · 2013 · 131 citations · Full text

Engineering, Mathematics, Differential Equations +12