Electronic Resource
Springer
Annals of the Institute of Statistical Mathematics
45 (1993), S. 419-432
ISSN:
1572-9052
Keywords:
Numerical solution
;
stochastic differential equations
;
error analysis
;
order of convergence
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract A lot of discrete approximation schemes for stochastic differential equations with regard to mean-square sense were proposed. Numerical experiments for these schemes can be seen in some papers, but the efficiency of scheme with respect to its order has not been revealed. We will propose another type of error analysis. Also we will show results of simulation studies carried out for these schemes under our notion.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00773344
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