The Euler scheme for a class of anticipating stochastic differential equations

DOI10.1163/1569397042222468zbMath1065.60070OpenAlexW4235268235MaRDI QIDQ4677081

Ciprian A. Tudor, Soledad Torres

Publication date: 20 May 2005

Full work available at URL: https://doi.org/10.1163/1569397042222468

zbMATH Keywords

approximationEuler schemeMalliavin derivativeanticipating stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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