Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's
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Publication:4378960
DOI10.1016/S0362-546X(97)00159-4zbMath0893.60034OpenAlexW2044461360MaRDI QIDQ4378960
Publication date: 5 March 1998
Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0362-546x(97)00159-4
Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)
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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
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