Strong approximations for stochastic differential equations with boundary conditions

DOI10.1016/0304-4149(95)00092-5zbMath0856.60060OpenAlexW2015811635MaRDI QIDQ1915841

Marco Ferrante, Arturo Kohatsu-Higa, Marta Sanz-Solé

Publication date: 5 August 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00092-5

zbMATH Keywords

Wiener processstochastic flownumerical approximationsstochastic differential equations with boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear boundary value problems for ordinary differential equations (34B15) Nonlocal and multipoint boundary value problems for ordinary differential equations (34B10) Boundary value problems for functional-differential equations (34K10) Numerical methods for partial differential equations, boundary value problems (65N99) Boundary value problems for ordinary differential equations (34B99)

Related Items

Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm ⋮ An adaptive algorithm for solving stochastic multi-point boundary value problems ⋮ Weak approximations. A Malliavin calculus approach

Cites Work

• Boundary value problems for stochastic differential equations
• Equations différentielles stochastiques dans avec conditions aux bords
• The euler scheme for anticipating stochastic differential equations