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

DOI10.1016/S0378-4754(97)00047-5zbMATH Open1017.65502MaRDI QIDQ1404625FDOQ1404625

Vigirdas Mackevičius

Publication date: 21 August 2003

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

zbMATH Keywords

Euler schemeStochastic differential equationsConvergence rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Expansion of the global error for numerical schemes solving stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Rate of Convergence of the Euler Approximation for Diffusion Processes
• Piecewise Constant Approximation for the Monte-Carlo Calculation of Wiener Integrals
• The rate of convergence for approximate solutions of stochastic differential equations
• Simultaneous time and chance discretization for stochastic differential equations

Cited In (7)

• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• Adaptive weak approximation of stochastic differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments
• Convergence of the Euler scheme for a class of stochastic differential equations

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