Pathwise convergence of numerical schemes for random and stochastic differential equations
Doss-Sussman transformationsItô integralnumerical examplespathwise convergencerandom ordinary differential equationsstochastic differential equationsstochastic Taylor expansions
Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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)
- Numerical schemes for random ODEs via stochastic differential equations
- Pathwise convergent higher order numerical schemes for random ordinary differential equations
- Pathwise Taylor schemes for random ordinary differential equations
- Discretization and simulation of stochastic differential equations
- The pathwise convergence of approximation schemes for stochastic differential equations
- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
- Multivalued stochastic differential equations: Convergence of a numerical scheme
- Almost sure convergence of the numerical discretization of stochastic jump diffusions
- The non-linear sewing lemma III: stability and generic properties
- Pathwise convergence rate for numerical solutions of stochastic differential equations
- Rough paths based numerical algorithms in computational finance
- scientific article; zbMATH DE number 2009872 (Why is no real title available?)
- Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Pathwise convergent higher order numerical schemes for random ordinary differential equations
- Error and convergence of two numerical schemes for stochastic differential equations
- The numerical approximation of stochastic partial differential equations
- Characterization of bistability for stochastic multistep methods
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