Linear vs standard information for scalar stochastic differential equations (Q700169)

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Linear vs standard information for scalar stochastic differential equations
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    Linear vs standard information for scalar stochastic differential equations (English)
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    30 September 2002
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    The authors study the strong order of accuracy with respect to the mean squared \(L_2\) error of Itô-Taylor series methods applied to scalar nonlinear stochastic differential equations globally on the internal of integration. The error differences between methods which use only the Wiener increment and higher-order Itô integrals differ only by \(\sqrt{6/\pi}\) asymptotically. Of course if comparisons are made at a single point this result is no longer true.
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    error bounds
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    Itô-Taylor series methods
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    stochastic differential equations
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