Error and convergence of two numerical schemes for stochastic differential equations

DOI10.1002/NUM.20165MaRDI QIDQ5487794zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(5)

• Asymptotic error for the Milstein scheme for SDEs with stochastic evaluation times
• Some remarks on the numerical approximation of stochastic differential equations
• ON EXACT CONVERGENCE RATE OF STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• scientific article; zbMATH DE number 4199484 (Why is no real title available?)
• scientific article; zbMATH DE number 5556214 (Why is no real title available?)

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