scientific article; zbMATH DE number 5234214

MaRDI QIDQ5439732zbMATH OpenFDO

Authors Henri Schurz

Publication date 11 February 2008

zbMATH Keywords

error boundsfinancenumerical examplesstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(1)

• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods

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