Adaptive weak approximation of stochastic differential equations

DOI10.1002/cpa.10000zbMath1024.60028OpenAlexW2124633501MaRDI QIDQ4790252

Georgios E. Zouraris, Anders Szepessy, Raúl Tempone

Publication date: 28 January 2003

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.10000

zbMATH Keywords

stochastic differential equationserror expansionweak approximationsadaptive time-stepping methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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