Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments

DOI10.1007/978-3-7908-2598-5_6zbMath1210.60073OpenAlexW29656896MaRDI QIDQ3059068

Andreas Rößler

Publication date: 8 December 2010

Published in: Recent Developments in Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2598-5_6

zbMATH Keywords

stochastic differential equationweak approximationstrong approximationstochastic Runge-Kutta 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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