ICIAM/GAMM 95 Numerical Analysis, Scientific computing Computer ScienceICIAM/GAMM 95 Numerical Analysis, Scientific computing Computer Science

DOI10.1002/zamm.19960761107zbMath0925.60064OpenAlexW4230639086MaRDI QIDQ4389436

Denis Talay, Vlad Bally, Philip E. Protter

Publication date: 8 November 1999

Published in: ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/zamm.19960761107

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

The Euler scheme with irregular coefficients ⋮ The Euler scheme for Lévy driven stochastic differential equations ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods

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