Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's

DOI10.1016/S0362-546X(97)00159-4MaRDI QIDQ4378960zbMATH OpenOpenAlexFDO

Authors Shuya Kanagawa

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

zbMATH Keywords

discrete time approximationstochastic differential equations

Mathematics Subject Classification ID

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

• Continuous Markov processes and stochastic equations
• Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• scientific article; zbMATH DE number 1494214 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• Monte Carlo simulation of nonlinear diffusion processes
• The rate of convergence for approximate solutions of stochastic differential equations

Cited in

(4)

• A novel stochastic locally transversal linearization (LTL) technique for engineering dynamical systems: strong solutions
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Confidence intervals for finite difference solutions
• Concentration inequalities for Euler schemes

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