The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations

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

zbMATH Keywords

asymptotic efficiency; numerical approximation; strong solutions of stochastic differential equations; multidimensional Brownian path; noncommutative Lie algebra

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65F05: Direct numerical methods for linear systems and matrix inversion

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