Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm

DOI10.1016/j.apnum.2013.12.003zbMath1284.65012MaRDI QIDQ2437367

Paweł M. Morkisz, Paweł Przybyłowicz

Publication date: 3 March 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.12.003

zbMATH Keywords

Monte Carlo methods; error estimate; optimal algorithm; Euler algorithm; Euler-integral algorithm; stochastic Carathéodory differential equations

Mathematics Subject Classification ID

65C05: Monte Carlo methods

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

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L70: Error bounds for numerical methods for ordinary differential equations

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