STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (Q4979887)
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scientific article; zbMATH DE number 6305526
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD |
scientific article; zbMATH DE number 6305526 |
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STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD (English)
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19 June 2014
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stochastic differential equations
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Euler-Maruyama scheme
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Milstein scheme
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multi-level Monte Carlo method
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asymptotic method
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strong convergence
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weak convergence
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