Analysis of some numerical schemes for stochastic differential equations
zbMATH Open1224.65010MaRDI QIDQ3071644FDOQ3071644
Authors: Wei Fu, Chengchun Gong 
Publication date: 5 February 2011
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stochastic differential equationnumerical experimentsEuler schemeMilstein schemepredictor-corrector method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)
Cited In (8)
- Numerical and mathematical analysis of blow-up problems for a stochastic differential equation
- Analysis and numerical approximation of a class of two-way diffusions
- Title not available (Why is that?)
- Some remarks on the numerical approximation of stochastic differential equations
- Title not available (Why is that?)
- Corrected implicit schemes for fractional stochastic differential equation
- Error and convergence of two numerical schemes for stochastic differential equations
- Numerical analysis of the stochastic Stokes equations of Wick type
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