On the convergence rate of Euler scheme for SDE with Lipschitz drift and constant diffusion

DOI10.1023/A:1025754020469zbMath1032.60062OpenAlexW49064125MaRDI QIDQ1415886

Vigirdas Mackevičius

Publication date: 9 December 2003

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025754020469

zbMATH Keywords

stochastic differential equationsconvergence rateEuler schemeweak approximations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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