Expansion of the global error for numerical schemes solving stochastic differential equations

DOI10.1080/07362999008809220zbMath0718.60058OpenAlexW2092264912MaRDI QIDQ5750050

Denis Talay, Luciano Tubaro

Publication date: 1990

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

Full work available at URL: https://hal.inria.fr/inria-00075490/file/RR-1069.pdf

zbMATH Keywords

stochastic differential equationsnumerical schemesextrapolation methodsglobal approximation error

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Unnamed Item

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