Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

DOI10.1007/s00211-008-0200-8zbMath1163.65003OpenAlexW2046001715MaRDI QIDQ1016225

Peter E. Kloeden, Arnulf Jentzen, Andreas Neuenkirch

Publication date: 5 May 2009

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-008-0200-8

zbMATH Keywords

convergencenumerical examplesstochastic differential equationsItô-Taylor schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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