A Variable Step Size Riemannian Sum for an Itô Integral (Q3516427)

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A Variable Step Size Riemannian Sum for an Itô Integral
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    A Variable Step Size Riemannian Sum for an Itô Integral (English)
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    5 August 2008
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    adaptive time discretisation
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    variable step size
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    pathwise approximation
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    stochastic differential equation
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    mean-square numerical method
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    error bounds
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    convergence
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    Riemannian sum
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    iterated Itô integral
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    Euler's method
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