An estimate of the error for strong solutions of stochastic differential equations

DOI10.12988/IMF.2007.07024zbMATH Open1157.65309OpenAlexW2106955402MaRDI QIDQ3598769FDOQ3598769

Author name not available (Why is that?)

Publication date: 3 February 2009

Published in: International Mathematical Forum (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/98fc94da7f08c9481acef673175dac39071dc792

zbMATH Keywords

numerical exampleserror estimatesstochastic differential equationsstrong convergenceItô method

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) Error bounds for numerical methods for ordinary differential equations (65L70)

Cited In (4)

• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• Error estimate for uniform approximation by Lagrange-Sturm-Liouville processes
• Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
• Title not available (Why is that?)

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