Rate of convergence of an approximate solution of stochastic differential equations-Reference-Cited by-同舟云学术

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Rate of convergence of an approximate solution of stochastic differential equations

Published:1980-01 Issue:1-4 Volume:3 Page:267-276
ISSN:0090-9491
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Gorostiza Luis G.

Publisher

Informa UK Limited

Link

http://www.tandfonline.com/doi/pdf/10.1080/17442508008833150

Reference7 articles.

1. Approximate solution of random ordinary differential equations

2. Strong approximation of diffusion processes by transport processes

3. Almost Sure Convergence of Uniform Transport Processes to Brownian Motion

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2. An explicit solution to the Skorokhod embedding problem for double exponential increments;Statistics & Probability Letters;2020-10

3. Numerical Solution of Stochastic Differential Equations with Jumps in Finance;Stochastic Modelling and Applied Probability;2010

4. Efficient numerical solution of stochastic differential equations using exponential timestepping;Journal of Statistical Physics;2000

5. An introduction to numerical methods for stochastic differential equations;Acta Numerica;1999-01

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