An adaptive Euler-Maruyama scheme for SDEs: convergence and stability (Q5294120)
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scientific article; zbMATH DE number 5173879
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An adaptive Euler-Maruyama scheme for SDEs: convergence and stability |
scientific article; zbMATH DE number 5173879 |
Statements
An adaptive Euler-Maruyama scheme for SDEs: convergence and stability (English)
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23 July 2007
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stochastic differential equations
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discrete time approximation
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strong convergence
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adaptive time discretization
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numerical stability
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ergodicity
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explicit Euler scheme
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