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abstract:
A new class of explicit Euler schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, will be presented in this talk. It will be shown that, under very mild conditions, these explicit schemes converge in probability and in $\mathcal L^p$ to the solution of the corresponding SDEs. Moreover, it will be shown that such schemes can be used to approximate SDEs driven by Levy noise. |
