Simulation studies on time discrete diffusion approximations

DOI10.1016/0378-4754(87)90135-2zbMath0632.65146MaRDI QIDQ1095628

Eckhard Platen, Horst Liske

Publication date: 1987

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(87)90135-2

zbMATH Keywords

Euler method; Taylor expansion; mean-square convergence; Îto stochastic differential equation

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L05: Numerical methods for initial value problems involving ordinary differential equations

65C99: Probabilistic methods, stochastic differential equations

Related Items

Implicit Taylor methods for stiff stochastic differential equations, A survey of numerical methods for stochastic differential equations, \(A\)-stability of Runge-Kutta methods for systems with additive noise, Simulation of stochastic differential equations, Stability in Distribution of Numerical Solutions for Stochastic Differential Equations, Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples

Cites Work

• Discretization and simulation of stochastic differential equations
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