Discretization of the Wiener-process in difference-methods for stochastic differential equations

DOI10.1016/0304-4149(84)90306-5MaRDI QIDQ799309zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 1984

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(84)90306-5

zbMATH Keywords

bounded-Lipschitz-distancecomputer-approximationEuler-method

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Difference methods for stochastic differential equations with discontinuous coefficients
• The Euler scheme for Hilbert space valued stochastic differential equations
• Discretization and simulation of stochastic differential equations
• Simulation of stochastic differential equations
• Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations

Cites work

• scientific article; zbMATH DE number 3651671 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Integration of Stochastic Differential Equations-II
• Numerical Solution of Ito Integral Equations
• The digital simulation of stochastic differential equations

Cited in

(12)

• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• The Euler scheme for Hilbert space valued stochastic differential equations
• Embedding a stochastic difference equation into a continuous-time process
• Wong-Zakai approximations for stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• scientific article; zbMATH DE number 49115 (Why is no real title available?)
• On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
• Derandomization of the Euler scheme for scalar stochastic differential equations
• Difference methods for stochastic differential equations with discontinuous coefficients
• Simulation of stochastic differential equations
• Simultaneous time and chance discretization for stochastic differential equations

This page was built for publication: Discretization of the Wiener-process in difference-methods for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q799309)