Extrapolation Methods for the Weak Approximation of Ito Diffusions

DOI10.1137/0732069MaRDI QIDQ4857623zbMATH OpenOpenAlexFDO

Authors Eckhard Platen, Norbert Hofmann, Peter E. Kloeden

Publication date 8 July 1997

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0732069

zbMATH Keywords

extrapolation methodsstochastic differential equationsweak approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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• A multiresolution method for parameter estimation of diffusion processes
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