Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design

DOI10.1080/17442509608834090zbMATH Open0868.60048OpenAlexW2033464856MaRDI QIDQ4332219FDOQ4332219

Authors: 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

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zbMATH Keywords

stochastic differential equationEuler-Maruyama schemeoptimal schemes

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (28)

• Optimal approximation of SDE's with additive fractional noise
• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
• Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
• Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
• Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• The Euler-Maruyama approximation for the absorption time of the CEV diffusion
• Loss of regularity for Kolmogorov equations
• Normalized and self-normalized Cramér-type moderate deviations for the Euler-Maruyama scheme for the SDE
• Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error
• An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter
• Improvement of the Euler scheme for the solution of a stationary diffusion equation by extrapolation
• Optimal approximation of stochastic differential equations by adaptive step-size control
• Efficient discretisation of stochastic differential equations
• Discretization error of stochastic integrals
• Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
• The optimal discretization of stochastic differential equations
• Title not available (Why is that?)
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• On some non asymptotic bounds for the Euler scheme
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Concentration inequalities for Euler schemes
• Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
• An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients

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