Pathwise convergence rate for numerical solutions of stochastic differential equations

DOI10.1093/IMANUM/DRR025zbMath1246.65018OpenAlexW2334236958MaRDI QIDQ2882363

Son Luu Nguyen, G. George Yin

Publication date: 4 May 2012

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drr025

zbMATH Keywords

stochastic differential equationBrownian motionEuler-Maruyama schemestrong invariance principlepathwise weak approximationpathwise weak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations ⋮ Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations ⋮ Stability of numerical methods for jump diffusions and Markovian switching jump diffusions ⋮ Numerical Methods for Controlled Switching Diffusions ⋮ Using Coupling Methods to Estimate Sample Quality of Stochastic Differential Equations ⋮ Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate

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