Simultaneous time and chance discretization for stochastic differential equations

DOI10.1016/0377-0427(94)00003-JzbMath0839.65153WikidataQ126857706 ScholiaQ126857706MaRDI QIDQ1899957

M.Gelbrich

Publication date: 20 November 1995

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

weak convergencestochastic differential equationsEuler schemeWasserstein metricsMilstein schemetime discrete approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

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