Error and convergence of two numerical schemes for stochastic differential equations

DOI10.1002/num.20165zbMath1099.65010OpenAlexW2049911102MaRDI QIDQ5487794

B. D. Ewald

Publication date: 12 September 2006

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.20165

zbMATH Keywords

convergencefinite difference methoderror boundsItô stochastic differential equationstochastic numerical schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items (1)

Some remarks on the numerical approximation of stochastic differential equations

Cites Work

• Numerical solution of SDE through computer experiments. Including floppy disk

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