Convergence of numerical methods for stochastic differential equations in mathematical finance

DOI10.1142/9789814436434_0002zbMath1277.91194arXiv1204.6620OpenAlexW1566416747MaRDI QIDQ2849670

Andreas Neuenkirch, Peter E. Kloeden

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.6620

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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