Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
From MaRDI portal
Publication:4332219
DOI10.1080/17442509608834090zbMath0868.60048OpenAlexW2033464856MaRDI QIDQ4332219
Stamatis Cambanis, Yaozhong Hu
Publication date: 18 August 1997
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509608834090
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)
Related Items
Discrete-time approximations of stochastic delay equations: the Milstein scheme., Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions, Step size control for the uniform approximation of systems of stochastic differential equations with additive noise., Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions, Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods, Efficient discretisation of stochastic differential equations, Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error, Discretization error of stochastic integrals, Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients, Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion, The optimal discretization of stochastic differential equations, Optimal pointwise approximation of SDEs based on Brownian motion at discrete points, Optimal approximation of SDE's with additive fractional noise, An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise, Optimal approximation of stochastic differential equations by adaptive step-size control, Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion, Loss of regularity for Kolmogorov equations
