The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
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Publication:1917686
zbMath0851.60054MaRDI QIDQ1917686
Jessica Gaines, Fabienne Castell
Publication date: 17 November 1996
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_1996__32_2_231_0
asymptotic efficiency; numerical approximation; strong solutions of stochastic differential equations; multidimensional Brownian path; noncommutative Lie algebra
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65F05: Direct numerical methods for linear systems and matrix inversion
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