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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| English | Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations |
scientific article; zbMATH DE number 5056195 |
Statements
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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0.9342805
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0.91659814
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0.9161571
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0.90874916
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0.9064967
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0.90488607
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0.90361476
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