STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (Q4979887): Difference between revisions

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Latest revision as of 08:42, 30 July 2024

scientific article; zbMATH DE number 6305526
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English
STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD
scientific article; zbMATH DE number 6305526

    Statements

    STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (English)
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    19 June 2014
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    stochastic differential equations
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    Euler-Maruyama scheme
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    Milstein scheme
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    multi-level Monte Carlo method
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    asymptotic method
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    strong convergence
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    weak convergence
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