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scientific article; zbMATH DE number 844583
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| English | No label defined |
scientific article; zbMATH DE number 844583 |
Statements
13 February 1996
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strong approximation
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Ito stochastic differential equation
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Ito process
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weak approximations
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stochastic Taylor formula
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multiple stochastic integrals
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Wiener increments
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third order method
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fourth order method
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Wiener process
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variable stepsize algorithm
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Aitken-Neville type extrapolation
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numerical stability
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test equations of Stratonovich type
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\(A\)-stability
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numerical experiments
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Euler scheme
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Mathematical Finance
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0.8405468463897705
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0.8356016278266907
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0.8295204639434814
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0.8256667256355286
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