Numerical methods for stochastic differential equations with non-globally Lipschitz coefficients are currently studied intensively. This article gives an overview of our work for the case that the drift coefficient is potentially discontinuous complemented by other important results in this area. To make the topic accessible to a broad audience, we begin with a heuristic on SDEs and a motivation.
翻译:目前,正在对含有非全球利普施奇茨系数的随机差异方程式的量化方法进行深入研究。本文章概述了我们的工作情况,即漂移系数可能与这一领域的其他重要结果互不相干。为了使广大受众了解这个专题,我们首先要对SDEs和动机进行累赘研究。