Weak Convergence of Approximations of I tǒ Integral Equations

DOI10.1002/zamm.19800601108zbMath0465.60056OpenAlexW2076277225MaRDI QIDQ3917263

Eckhard Platen

Publication date: 1980

Published in: ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/zamm.19800601108

zbMATH Keywords

weak convergenceMonte Carlo simulationIto processestime discrete approximations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations

Cites Work

• Unnamed Item

This page was built for publication: Weak Convergence of Approximations of I tǒ Integral Equations