Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method (Q4979887)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6305526
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method |
scientific article; zbMATH DE number 6305526 |
Statements
STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (English)
0 references
19 June 2014
0 references
stochastic differential equations
0 references
Euler-Maruyama scheme
0 references
Milstein scheme
0 references
multi-level Monte Carlo method
0 references
asymptotic method
0 references
strong convergence
0 references
weak convergence
0 references
0 references
0.801816999912262
0 references
0.7993208765983582
0 references
0.7975040674209595
0 references
0.7902493476867676
0 references
