Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations

DOI10.1515/MCMA.1995.1.3.165MaRDI QIDQ4868308zbMATH OpenOpenAlexFDO

Authors Shuya Kanagawa

Publication date 6 March 1996

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.1995.1.3.165

zbMATH Keywords

convergenceerror boundsEuler-Maruyama numerical approximationsmultidimensional Ito stochastic differential equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05) Error bounds for numerical methods for ordinary differential equations (65L70)

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• A review of recent results on approximation of solutions of stochastic differential equations
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• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations
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