Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

DOI10.1007/S10543-011-0360-2zbMath1255.65021OpenAlexW2193879799MaRDI QIDQ438716

J. C. Jimenez, H. de la Cruz Cancino

Publication date: 31 July 2012

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-011-0360-2

zbMATH Keywords

strong convergencesystemsnumerical integrationstochastic differential equationsadditive noiselocal linearization schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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