Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations (Q5488655)

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scientific article; zbMATH DE number 5056195
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Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations
scientific article; zbMATH DE number 5056195

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    Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations (English)
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    22 September 2006
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    stochastic theta method
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    implicit Euler methods
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    Itô stochastic differential equations
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    Richardson extrapolation
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    numerical examples
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