scientific article; zbMATH DE number 1494214

zbMATH Open0958.60060MaRDI QIDQ4497368FDOQ4497368

Authors: Shuya Kanagawa 

Publication date: 9 April 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Monte Carlo simulationsItô's stochastic differential equationsEuler-Maruyama type approximate solutions

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (10)

• A Euler-Maruyama's approximate solutions of stochastic differential equations under Hölder-type conditions
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition
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• Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
• The rate of convergence for approximate solutions of stochastic differential equations
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• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's

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