Rate of Convergence of the Euler Approximation for Diffusion Processes
DOI10.1002/mana.19911510114zbMath0733.65104MaRDI QIDQ3359716
Remigijus Mikulevičius, Eckhard Platen
Publication date: 1991
Published in: Mathematische Nachrichten (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mana.19911510114
rate of convergence; weak solution; Wiener process; diffusion processes; order of convergence; Itô stochastic differential equation; Euler approximation; time-discrete Monte Carlo simulation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L05: Numerical methods for initial value problems involving ordinary differential equations
65L12: Finite difference and finite volume methods for ordinary differential equations
65C99: Probabilistic methods, stochastic differential equations
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