Rounding error in numerical solution of stochastic differential equations

Stochastic Analysis and Applications

Volumn 21, Issue 2, 2003, Pages 281-300

  Arciniega, Armando ^a   Allen, Edward ^a  

^a TEXAS TECH UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037276232     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120019286     Document Type: Article

References (9)

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2. Arnold, L. Stochastic Differential Equations: Theory and Applications; John Wiley & Sons: New York, 1974.
3. Gard, T.C. Introduction to Stochastic Differential Equations; Marcel Dekker: New York, 1988.
4. Henrici, P. Elements of Numerical Analysis; John Wiley & Sons: New York, 1964.
5. Kloeden, P.E.; Platen, E. Numerical Solution of Stochastic Differential Equations; Springer-Verlag: New York, 1992.
6. Marchuk, G.I.; Shaidurov, V.V. Difference Methods and Their Extrapolations; Springer-Verlag: New York, 1983.
7. Stoer, J.; Bulirsch, R. Introduction to Numerical Analysis; Springer-Verlag: New York, 1980.
8. Talay, D. Simulation and numerical analysis of stochastic differential systems: a review. In Probabilistic Methods in Applied Physics; Kree, P., Wedig, W., Eds.; Lecture Notes in Physics; Springer-Verlag: New York, 1995; Vol. 451, 63-106.
9. Talay, D.; Turbano, L. Expansion of the global error for numerical schemes solving stochastic differential equations. Stoch. Anal. Appl. 1990, 8 (4), 483-509.