ON EXACT CONVERGENCE RATE OF STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.4134/BKMS.2007.44.1.125zbMath1137.65008OpenAlexW2002333082MaRDI QIDQ5435233

Dougu Nam

Publication date: 14 January 2008

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/bkms.2007.44.1.125

zbMATH Keywords

convergencestochastic differential equationsstrong approximationglobal \(L_2\)-norm error

Mathematics Subject Classification ID

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

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