The Euler-Maruyama approximation of solutions to stochastic differential equations with piecewise constant arguments

DOI10.1016/j.cam.2015.11.019zbMath1330.60075OpenAlexW2192202393MaRDI QIDQ908365

Marija Milošević

Publication date: 4 February 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.11.019

zbMATH Keywords

stochastic differential equationsmean square convergencepiecewise constant argumentsEuler-Maruyama methodexponential stability in mean square

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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