Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions

DOI10.1016/S0378-4754(97)00047-5zbMath1017.65502MaRDI QIDQ1404625

Vigirdas Mackevičius

Publication date: 21 August 2003

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

zbMATH Keywords

Convergence rate; Euler scheme; Stochastic differential equations

Mathematics Subject Classification ID

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

65C30: Numerical solutions to stochastic differential and integral equations

Cites Work

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