The Euler scheme with irregular coefficients

Annals of Probability

Volumn 30, Issue 3, 2002, Pages 1172-1194

  Yan, Liqing ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Euler scheme; Monte Carlo simulations; Rate of convergence; Stochastic differential equations; Weak convergence

Indexed keywords

EID: 0036630423     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1029867124     Document Type: Article

References (26)

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