# Thesis

## Adaptive timestepping for SDEs with non-globally Lipschitz drift

Abstract:

In this thesis, we focus on the numerical approximation of SDEs with a drift which is not globally Lipschitz, and corresponding sensitivity calculations.

First, we propose an adaptive timestep construction for an Euler- Maruyama approximation of these SDEs over a finite time interval. It is proved that if the timestep is bounded appropriately, then over a finite time interval the numerical approximation is stable, and the expected number of timesteps is finite. Moreover, we ex...

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### Authors

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Division:
MPLS
Department:
Mathematical Institute
Role:
Author

#### Contributors

Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Keywords:
Subjects:
UUID:
uuid:08b61928-a14b-4e5d-84ae-88d5f759ded3
Deposit date:
2019-08-02