Discretization of the Wiener-process in difference-methods for stochastic differential equations

DOI10.1016/0304-4149(84)90306-5zbMATH Open0548.60063OpenAlexW2000502750MaRDI QIDQ799309FDOQ799309

Authors: N. E. Zubov 

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90306-5

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zbMATH Keywords

bounded-Lipschitz-distancecomputer-approximationEuler-method

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Solution of Ito Integral Equations
• Title not available (Why is that?)
• Numerical Integration of Stochastic Differential Equations-II
• The digital simulation of stochastic differential equations

Cited In (12)

• The Euler scheme for Hilbert space valued stochastic differential equations
• Title not available (Why is that?)
• A survey of numerical methods for stochastic differential equations
• Simultaneous time and chance discretization for stochastic differential equations
• Wong-Zakai approximations for stochastic differential equations
• Difference methods for stochastic differential equations with discontinuous coefficients
• Embedding a stochastic difference equation into a continuous-time process
• Simulation of stochastic differential equations
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
• Derandomization of the Euler scheme for scalar stochastic differential equations

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