scientific article; zbMATH DE number 926738

MaRDI QIDQ4892161zbMATH OpenFDO

Authors Yaozhong Hu

Publication date 15 September 1996

Full work available at URL http://www.numdam.org/item?id=SPS_1996__30__218_0, https://eudml.org/doc/113929

zbMATH Keywords

discretization schemesnumerical solutions of stochastic differential equations

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 826142
• Discrete approximation of stochastic differential equations
• scientific article; zbMATH DE number 1217675
• Simultaneous time and chance discretization for stochastic differential equations
• scientific article; zbMATH DE number 1405267

Cited in

(10)

• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Stochastic quantization and ergodic theorem for density of diffusions
• ISALT: inference-based schemes adaptive to large time-stepping for locally Lipschitz ergodic systems
• Simplified order 4.0 weak Taylor schemes for additive noise
• The direct Richardson pth order (DRp) schemes: a new class of time integration schemes for stochastic differential equations
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Weak order for the discretization of the stochastic heat equation
• A family of weak stochastic Newmark methods for simplified and efficient Monte Carlo simulations of oscillators
• scientific article; zbMATH DE number 1217675 (Why is no real title available?)
• Taylor schemes for rough differential equations and fractional diffusions

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4892161)