scientific article; zbMATH DE number 3990826

MaRDI QIDQ3753451zbMATH OpenFDO

Authors Luis Casasús Latorre

Publication date 1984

zbMATH Keywords

Euler methodquadratic mean convergence

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Recommendations

• Convergence of numerical schemes for stochastic differential equations
• Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
• scientific article; zbMATH DE number 5568602
• scientific article; zbMATH DE number 1494214
• scientific article; zbMATH DE number 2204840

Cited in

(8)

• Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
• Multivalued stochastic differential equations: Convergence of a numerical scheme
• scientific article; zbMATH DE number 2009872 (Why is no real title available?)
• Almost sure convergence of the numerical discretization of stochastic jump diffusions
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Convergence rates for finite elementapproximations of stochastic partial differential equations
• Numerical evaluation of the stochastic integral using mechanical quadrature rules
• Error and convergence of two numerical schemes for stochastic differential equations

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3753451)