Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
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Publication:1769404
DOI10.1214/105051604000000954zbMath1074.65010arXivmath/0503531OpenAlexW3102549046MaRDI QIDQ1769404
Publication date: 21 March 2005
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0503531
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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