Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions

DOI10.1016/S0378-4754(97)00047-5MaRDI QIDQ1404625zbMATH OpenFDO

Authors Vigirdas Mackevičius

Publication date 21 August 2003

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Euler schemeStochastic differential equationsConvergence rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 3886829 (Why is no real title available?)
• scientific article; zbMATH DE number 3879985 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals
• Rate of Convergence of the Euler Approximation for Diffusion Processes
• Simultaneous time and chance discretization for stochastic differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• The rate of convergence for approximate solutions of stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(10)

• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• Adaptive weak approximation of stochastic differential equations
• Quasi-sure convergence rate of Euler scheme for stochastic differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments
• Convergence of the Euler scheme for a class of stochastic differential equations
• On irregular functionals of SDEs and the Euler scheme

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