The Euler scheme with irregular coefficients

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Publication:1872290

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DOI10.1214/aop/1029867124zbMath1020.60054OpenAlexW2026701194MaRDI QIDQ1872290

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1029867124

zbMATH Keywords

rate of convergence weak convergence stochastic differential equations Monte Carlo simulations Euler scheme

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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