Simulation studies on time discrete diffusion approximations

DOI10.1016/0378-4754(87)90135-2MaRDI QIDQ1095628zbMATH OpenOpenAlexFDO

Authors Horst Liske, Eckhard Platen

Publication date 1987

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(87)90135-2

zbMATH Keywords

Euler methodTaylor expansionmean-square convergenceÎto stochastic differential equation

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) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites work

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• Discretization and simulation of stochastic differential equations

Cited in

(16)

• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
• A problem with discretizing Vale-Maurelli in simulation studies
• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
• Implicit Taylor methods for stiff stochastic differential equations
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Monte Carlo simulation of nonlinear diffusion processes
• scientific article; zbMATH DE number 4034798 (Why is no real title available?)
• scientific article; zbMATH DE number 97735 (Why is no real title available?)
• Quantifying simulator discrepancy in discrete-time dynamical simulators
• A survey of numerical methods for stochastic differential equations
• A study of the efficiency of exact methods for diffusion simulation
• A new numerical method for SDEs and its application in circuit simulation
• Evaluating methods for approximating stochastic differential equations
• scientific article; zbMATH DE number 846975 (Why is no real title available?)
• Simulation of stopped diffusions
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