Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations (Q4377355)
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scientific article; zbMATH DE number 1116096
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| English | Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations |
scientific article; zbMATH DE number 1116096 |
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Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations (English)
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9 February 1998
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stochastic differential equations
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numerical approximation
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Lévy areas
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Brownian paths
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discretization schemes
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0.8610566854476929
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0.8468181490898132
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0.8334680199623108
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