ON EXACT CONVERGENCE RATE OF STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.4134/BKMS.2007.44.1.125MaRDI QIDQ5435233zbMATH OpenOpenAlexFDO

Authors Dougu Nam

Publication date 14 January 2008

Published in Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/bkms.2007.44.1.125

zbMATH Keywords

convergencestrong approximationstochastic differential equationsglobal \(L_2\)-norm error

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)

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Cited in

(9)

• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• Measure order of convergence without an exact solution, Euler vs Milstein scheme
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Almost sure convergence of the numerical discretization of stochastic jump diffusions
• Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations
• Convergence rate of numerical solutions to SFDEs with jumps
• Error and convergence of two numerical schemes for stochastic differential equations

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