Pointwise approximation of coupled Ornstein-Uhlenbeck processes

MaRDI QIDQ2902620zbMATH OpenFDO

Authors Daniel Henkel

Publication date 21 August 2012

zbMATH Keywords

algorithmsEuler-Maruyama schemesnumerical examplesOrnstein-Uhlenbeck processstochastic evolution equationWiener process

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(2)

• On coupling of stochastic processes with embedded point processes
• OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

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