scientific article; zbMATH DE number 926738

zbMATH Open0856.60062MaRDI QIDQ4892161FDOQ4892161

Authors: Yaozhong Hu 

Publication date: 15 September 1996

Full work available at URL: http://www.numdam.org/item?id=SPS_1996__30__218_0

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zbMATH Keywords

discretization schemesnumerical solutions of stochastic differential equations

Mathematics Subject Classification ID

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

Cited In (9)

• The direct Richardson \(p\)th order (DRp) schemes: a new class of time integration schemes for stochastic differential equations
• Simplified order 4.0 weak Taylor schemes for additive noise
• ISALT: inference-based schemes adaptive to large time-stepping for locally Lipschitz ergodic systems
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Taylor schemes for rough differential equations and 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
• Stochastic quantization and ergodic theorem for density of diffusions
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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