A Variable Step Size Riemannian Sum for an Itô Integral (Q3516427)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Variable Step Size Riemannian Sum for an Itô Integral |
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A Variable Step Size Riemannian Sum for an Itô Integral (English)
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5 August 2008
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adaptive time discretisation
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variable step size
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pathwise approximation
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stochastic differential equation
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mean-square numerical method
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error bounds
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convergence
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Riemannian sum
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iterated Itô integral
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Euler's method
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