Discretization of stochastic differential equations by the product expansion for the chen series

DOI10.1080/17442509708834097zbMath0872.65119OpenAlexW2091014404MaRDI QIDQ3128077

No author found.

Publication date: 8 October 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834097

zbMATH Keywords

stochastic differential equationsalmost sure convergenceChen seriesmultiple Stratonovich integralsmultiple stochastic integralsstochastic Taylor seriesStratonovich equationstochastic Gronwall inequalityStratonovich-Taylor-Hall scheme

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Stochastic integrals (60H05) Stochastic integral equations (60H20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations ⋮ Product expansion for stochastic jump diffusions and its application to numerical approximation

This page was built for publication: Discretization of stochastic differential equations by the product expansion for the chen series