Simulation studies on time discrete diffusion approximations

DOI10.1016/0378-4754(87)90135-2zbMath0632.65146OpenAlexW1991094173MaRDI QIDQ1095628

Eckhard Platen, Horst Liske

Publication date: 1987

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(87)90135-2

zbMATH Keywords

Euler methodTaylor expansionmean-square convergenceÎto stochastic differential equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Stability in Distribution of Numerical Solutions for Stochastic Differential Equations ⋮ Simulation of stochastic differential equations ⋮ A survey of numerical methods for stochastic differential equations ⋮ Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples ⋮ \(A\)-stability of Runge-Kutta methods for systems with additive noise ⋮ Implicit Taylor methods for stiff stochastic differential equations

Cites Work

• Discretization and simulation of stochastic differential equations
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