Simultaneous time and chance discretization for stochastic differential equations (Q1899957)
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scientific article; zbMATH DE number 804741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simultaneous time and chance discretization for stochastic differential equations |
scientific article; zbMATH DE number 804741 |
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Simultaneous time and chance discretization for stochastic differential equations (English)
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20 November 1995
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Within the paper the weak convergence of time discrete approximations of stochastic differential equations is considered. Convergence rates are proved for Euler and Milstein type schemes with respect to the Wasserstein metrics.
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Euler scheme
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Milstein scheme
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weak convergence
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time discrete approximations
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stochastic differential equations
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Wasserstein metrics
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