Adaptive weak approximation of stochastic differential equations

DOI10.1002/cpa.10000zbMath1024.60028MaRDI QIDQ4790252

Raúl Tempone, Georgios E. Zouraris, Anders Szepessy

Publication date: 28 January 2003

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.10000

zbMATH Keywords

stochastic differential equations; error expansion; weak approximations; adaptive time-stepping methods

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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