Comparative analysis of high-accuracy numerical methods for solving Itô stochastic differential equations (Q1285463)
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scientific article; zbMATH DE number 1280171
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparative analysis of high-accuracy numerical methods for solving Itô stochastic differential equations |
scientific article; zbMATH DE number 1280171 |
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Comparative analysis of high-accuracy numerical methods for solving Itô stochastic differential equations (English)
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28 April 1999
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A comparative analysis of numerical methods for solving Itô stochastic differential equations is given. Only methods obtained when partial sums of the Itô-Taylor series are discretized and having decision about 0.5, 1.0, 1.5 and 2.0 are considered. The whole work has rather methodological character and represents a survey of achievements in numerical methods for solving stochastic differential equations.
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stochastic differential equations
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numerical methods
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