A Variable Step Size Riemannian Sum for an Itô Integral
DOI10.1239/jap/1214950367zbMath1145.65004OpenAlexW1987671499WikidataQ115239908 ScholiaQ115239908MaRDI QIDQ3516427
Publication date: 5 August 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1214950367
stochastic differential equationconvergenceerror boundsvariable step sizeEuler's methodpathwise approximationiterated Itô integraladaptive time discretisationmean-square numerical methodRiemannian sum
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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stochastic integrals (60H05) 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) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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