Euler scheme for solutions of a countable system of stochastic differential equations

DOI10.1016/S0167-7152(01)00050-5zbMath0992.60062OpenAlexW1991761591MaRDI QIDQ5953977

Jaime San Martín, Soledad Torres

Publication date: 21 April 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00050-5

zbMATH Keywords

Euler schemecountable system of stochastic differential equationsstrong and weak convergence

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)

Related Items (1)

Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

Cites Work

• Infinite dimensional stochastic differential equations and their applications
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Expansion of the global error for numerical schemes solving stochastic differential equations
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