Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225): Difference between revisions

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English	Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients	scientific article

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scholarly article

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title

Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (English)

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Numerische Mathematik

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publication date

5 May 2009

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zbMATH Keywords

numerical examples

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stochastic differential equations

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Itô-Taylor schemes

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convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00211-008-0200-8

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cites work

On the discretization schemes for the CIR (and Bessel squared) processes

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Modeling with Itô Stochastic Differential Equations

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Q4210478

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Convergence of discretized stochastic (interest rate) processes with stochastic drift term

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Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

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Pathwise approximation of random ordinary differential equations

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A note on Euler's approximations

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Q4866235

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Structure preserving stochastic integration schemes in interest rate derivative modeling

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Q3923307

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Q4002114

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The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations

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Q4004325

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An adaptive Euler-Maruyama scheme for SDEs: convergence and stability

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A comparison of biased simulation schemes for stochastic volatility models

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Environmental Brownian noise suppresses explosions in population dynamics.

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Q4369402

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

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Resolution trajectorielle et analyse numerique des equations differentielles stochastiques

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The Euler scheme with irregular coefficients

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Identifiers

zbMATH Open document ID

1163.65003

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DOI

10.1007/s00211-008-0200-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1016225

@@ Property / author @@
-Andreas Neuenkirch
@@ Property / author: Andreas Neuenkirch / rank @@
-Normal rank
@@ Property / author @@
+Andreas Neuenkirch
@@ Property / author: Andreas Neuenkirch / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00211-008-0200-8
+Normal rank
@@ Property / OpenAlex ID @@
+W2046001715
@@ Property / OpenAlex ID: W2046001715 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+Modeling with Itô Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4210478
@@ Property / cites work: Q4210478 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
+Normal rank
@@ Property / cites work @@
+Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Pathwise approximation of random ordinary differential equations
+Normal rank
@@ Property / cites work @@
+A note on Euler's approximations
@@ Property / cites work: A note on Euler's approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4866235
@@ Property / cites work: Q4866235 / rank @@
+Normal rank
@@ Property / cites work @@
+Structure preserving stochastic integration schemes in interest rate derivative modeling
+Normal rank
@@ Property / cites work @@
+Q3923307
@@ Property / cites work: Q3923307 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Environmental Brownian noise suppresses explosions in population dynamics.
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
+Normal rank
@@ Property / cites work @@
+Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
+Normal rank
@@ Property / cites work @@
+Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank