Rate of Convergence of the Euler Approximation for Diffusion Processes
type: Item
instance of: scholarly article
title: Rate of Convergence of the Euler Approximation for Diffusion Processes
zbMATH Open document ID: 0733.65104
author: Eckhard Platen
author: R. Mikulevicius
published in: Mathematische Nachrichten
publication date: 1991-01-01T00:00:00Z
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 65L12
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 4213402
zbMATH Keywords: diffusion processes
zbMATH Keywords: Wiener process
zbMATH Keywords: time-discrete Monte Carlo simulation
zbMATH Keywords: order of convergence
zbMATH Keywords: Euler approximation
zbMATH Keywords: weak solution
zbMATH Keywords: Itô stochastic differential equation
zbMATH Keywords: rate of convergence
MaRDI profile type: Publication
full work available at URL: mana.19911510114
OpenAlex ID: W2029337327
cites work: Q3862204
DOI: 10.1002/MANA.19911510114
description: scientific article