An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst

DOI10.1080/17442509008833616zbMath0697.60067OpenAlexW2156710235MaRDI QIDQ3473914

Nigel J. Newton

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833616

zbMATH Keywords

approximationsorders of convergenceEuler and Milstein schemes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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