Discretization of the Wiener-process in difference-methods for stochastic differential equations
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Publication:799309
DOI10.1016/0304-4149(84)90306-5zbMath0548.60063OpenAlexW2000502750MaRDI QIDQ799309
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
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)
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