Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations

DOI10.1081/SAP-200056678zbMath1079.65012MaRDI QIDQ5316801

Georgios E. Zouraris, Raúl Tempone, Kyoung-Sook Moon, Anders Szepessy

Publication date: 15 September 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

computational complexityconvergencestopping criterianumerical experimentsaccuracyMonte Carlo methodEuler methodalmost sure convergenceItô stochastic differential equationsadaptive mesh refinement algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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