Pathwise convergence rate for numerical solutions of stochastic differential equations

DOI10.1093/IMANUM/DRR025zbMATH Open1246.65018OpenAlexW2334236958MaRDI QIDQ2882363FDOQ2882363

Authors: Son Luu Nguyen, G. Yin 

Publication date: 4 May 2012

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drr025

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zbMATH Keywords

stochastic differential equationBrownian motionEuler-Maruyama schemestrong invariance principlepathwise weak approximationpathwise weak convergence

Mathematics Subject Classification ID

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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited In (17)

• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
• Pathwise convergent higher order numerical schemes for random ordinary differential equations
• Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Using coupling methods to estimate sample quality of stochastic differential equations
• Title not available (Why is that?)
• Numerical methods for controlled switching diffusions
• Weak convergence of a numerical scheme for stochastic differential equations
• Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate
• The pathwise convergence of approximation schemes for stochastic differential equations
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Convergence rate of numerical solutions to SFDEs with jumps
• Weak convergence in the Prokhorov metric of methods for stochastic differential equations
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations

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