An efficient approximation method for stochastic differential equations by means of the exponential Lie series

DOI10.1016/0378-4754(93)E0062-AzbMath0824.60054MaRDI QIDQ1897652

Jessica Gaines, Fabienne Castell

Publication date: 4 September 1995

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

zbMATH Keywords

stochastic differential equationsnumerical approximationsefficient estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Flows and stochastic Taylor series in Itô calculus, On the stochastic Magnus expansion and its application to SPDEs, On a Chen-Fliess approximation for diffusion functionals, Modified equations for stochastic differential equations, Splitting methods for non-autonomous Hamiltonian equations, Splitting Integrators for the Stochastic Landau--Lifshitz Equation, Algebraic structures and stochastic differential equations driven by Lévy processes, Cubature Methods and Applications

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