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

DOI10.1016/j.apnum.2013.12.003zbMath1284.65012OpenAlexW2020481578MaRDI 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 methodserror estimateoptimal algorithmEuler algorithmEuler-integral algorithmstochastic Carathéodory differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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