Approximation of continuous time stochastic processes by a local linearization method (Q4372696)
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scientific article; zbMATH DE number 1097367
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of continuous time stochastic processes by a local linearization method |
scientific article; zbMATH DE number 1097367 |
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Approximation of continuous time stochastic processes by a local linearization method (English)
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16 December 1997
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one-step method
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multistep method
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comparison of methods
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stochastic differential equations
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convergence
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local linearization method
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Brownian motion
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numerical experiments
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Euler method
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