A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations

DOI10.1080/07362999408809341zbMath0789.60049OpenAlexW2072508613MaRDI QIDQ4286488

S. T. Goodlett, Edward J. Allen

Publication date: 6 April 1994

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999408809341

zbMATH Keywords

stochastic differential equationsEuler methodvariance reduction

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Random vortex methods for the Navier-Stokes equation
• Hermite expansions in Monte-Carlo computation
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Solution of Ito Integral Equations
• Expansion of the global error for numerical schemes solving stochastic differential equations

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