The optimal discretization of stochastic differential equations

DOI10.1006/jcom.2000.0570zbMath0991.60047OpenAlexW2011610640MaRDI QIDQ5938583

Thomas Müller-Gronbach, Klaus Ritter, Norbert Hofmann

Publication date: 23 July 2001

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jcom.2000.0570

zbMATH Keywords

stochastic differential equationstrong approximationadaptive scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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