scientific article; zbMATH DE number 3729205

MaRDI QIDQ3917262zbMATH OpenFDO

Authors Eckhard Platen

Publication date 1981

zbMATH Keywords

Ito processestime discrete approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05)

Cited in

(9)

• Weak convergence of semimartingales and discretisation methods
• Simulation studies on time discrete diffusion approximations
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Simulation of stochastic differential equations
• Simultaneous time and chance discretization for stochastic differential equations
• Wong-Zakai approximations for stochastic differential equations
• Weak approximation schemes for SDEs with super-linearly growing coefficients
• Approximate solution of random integral equations: General methods
• A survey of numerical methods 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 Q3917262)