On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations

DOI10.1016/j.jco.2003.09.004zbMath1068.65013OpenAlexW2003895317MaRDI QIDQ1888379

Thomas Müller-Gronbach, Norbert Hofmann

Publication date: 23 November 2004

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2003.09.004

zbMATH Keywords

optimal order of convergenceItô stochastic differential equationpathwise approximationItô-Taylor methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ On irregular functionals of SDEs and the Euler scheme

Cites Work

• Linear vs standard information for scalar stochastic differential equations
• The optimal uniform approximation of systems of stochastic differential equations
• The optimal discretization of stochastic differential equations
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