Convergence of Numerical Schemes for Stochastic Differential Equations

DOI10.1515/mcma.2001.7.1-2.35zbMath0982.65007OpenAlexW2056482993MaRDI QIDQ2724977

Gérard Fleury, Pierre Bernard

Publication date: 12 July 2001

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.35

zbMATH Keywords

stochastic differential equationconvergenceEuler methodMilshtein methodstochastic Newmark method

Mathematics Subject Classification ID

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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