Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's
From MaRDI portal
Publication:4378960
DOI10.1016/S0362-546X(97)00159-4zbMath0893.60034MaRDI QIDQ4378960
Publication date: 5 March 1998
Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)
60G50: Sums of independent random variables; random walks
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C99: Probabilistic methods, stochastic differential equations
Cites Work
- The rate of convergence for approximate solutions of stochastic differential equations
- Monte Carlo simulation of nonlinear diffusion processes
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Continuous Markov processes and stochastic equations
- Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item