Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations (Q5316801)
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scientific article; zbMATH DE number 2205421
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations |
scientific article; zbMATH DE number 2205421 |
Statements
Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations (English)
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15 September 2005
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adaptive mesh refinement algorithm
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almost sure convergence
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computational complexity
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Monte Carlo method
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Itô stochastic differential equations
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Euler method
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stopping criteria
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accuracy
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convergence
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numerical experiments
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