Error and convergence of two numerical schemes for stochastic differential equations

DOI10.1002/NUM.20165zbMATH Open1099.65010OpenAlexW2049911102MaRDI QIDQ5487794FDOQ5487794

Authors: Brian Ewald 

Publication date: 12 September 2006

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.20165

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zbMATH Keywords

convergenceerror boundsfinite difference methodItô stochastic differential equationstochastic numerical schemes

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) Finite difference and finite volume methods for ordinary differential equations (65L12) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

Cites Work

• Numerical solution of SDE through computer experiments. Including floppy disk

Cited In (5)

• ON EXACT CONVERGENCE RATE OF STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Some remarks on the numerical approximation of stochastic differential equations
• Title not available (Why is that?)
• Asymptotic error for the Milstein scheme for SDEs with stochastic evaluation times
• Title not available (Why is that?)

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