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

DOI10.1515/mcma.1995.1.3.165zbMath0841.65145OpenAlexW2065252948MaRDI QIDQ4868308

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

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

Related Items (2)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's

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