Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
Publication:5316801
DOI10.1081/SAP-200056678zbMath1079.65012MaRDI QIDQ5316801
Georgios E. Zouraris, Raúl Tempone, Kyoung-Sook Moon, Anders Szepessy
Publication date: 15 September 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
computational complexityconvergencestopping criterianumerical experimentsaccuracyMonte Carlo methodEuler methodalmost sure convergenceItô stochastic differential equationsadaptive mesh refinement algorithm
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) Complexity and performance of numerical algorithms (65Y20) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
Related Items (17)
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