Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design-Reference-Cited by-同舟云学术

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Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design

Published:1996-11 Issue:3-4 Volume:59 Page:211-240
ISSN:1045-1129
Container-title:Stochastics and Stochastic Reports
language:en
Short-container-title:Stochastics and Stochastic Reports

Author:

Cambams Stamatis¹,Yaozhong Hu²

Affiliation:

1. a Center of Stochastic Processes, Department of Statistics , The University of North Carolina at Chapel Hill , Chapel Hill, NC, 27599-3260

2. b Center of Stochastic Processes, Department of Statistics , The University of North Carolina at Chapel Hill , Chapel Hill, NC, 27599-3260

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442509608834090

Reference19 articles.

1. Lectures Notes in Control and Information Sciences;Clark J.M.C.,1980

2. An efficient approximation method for stochastic differential equations by means of the exponential Lie series

3. Dellacherie , C. and Meyer , P. A. 1982. “Probabilities and Potential B”. North Holland

4. Ekeland , I. and Teman , R. 1976. “Convex Analysis and Variational Problems”. North Holland

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