A Review of Recent Results on Approximation of Solutions of Stochastic Differential Equations

DOI10.1007/978-3-0348-0097-6_9zbMath1250.60032MaRDI QIDQ2909979

Benjamin Jourdain, Arturo Kohatsu-Higa

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_9

zbMATH Keywords

stochastic equations; Euler-Maruyama scheme; Kusuoka scheme; weak approximations; Milshtein scheme

Mathematics Subject Classification ID

65C05: Monte Carlo methods

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

65C30: Numerical solutions to stochastic differential and integral equations

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