On the pathwise approximation of stochastic differential equations

DOI10.1007/s10543-015-0597-2zbMath1354.65016arXiv1409.2362OpenAlexW1648537883MaRDI QIDQ329029

Tony Shardlow, Phillip Taylor

Publication date: 21 October 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.2362

zbMATH Keywords

error boundnumerical resultrough path theoryEuler-Maruyama methodIto stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items (6)

Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients ⋮ Stability of numerical solutions for the stochastic pantograph differential equations with variable step size ⋮ Razumikhin-type technique on stability of exact and numerical solutions for the nonlinear stochastic pantograph differential equations ⋮ Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths ⋮ The partially truncated Euler-Maruyama method and its stability and boundedness ⋮ Pathwise convergence under Knightian uncertainty

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• Multidimensional Stochastic Processes as Rough Paths
• Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

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