메뉴 건너뛰기




Volumn 7, Issue 1-2, 2001, Pages 35-44

Convergence of numerical schemes for stochastic differential equations

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0038200256     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.2001.7.1-2.35     Document Type: Article
Times cited : (7)

References (12)
  • 4
    • 0043228001 scopus 로고    scopus 로고
    • A Note on Euler's Approximations
    • DOI 10.1023/A:1008605221617
    • I. Gyöngy. A note on Euler's Approximations. Potential Analysis. 8. p. 205-216. 1998. (Pubitemid 128074254)
    • (1998) Potential Analysis , vol.8 , Issue.3 , pp. 205-216
    • Gyoengy, I.1
  • 5
    • 0040361064 scopus 로고    scopus 로고
    • Existence of strong solutions for Itô's stochastic equations via approximations
    • I. Gyöngy & N. Krylov. Existence of strong solutions for Itô's stochastic equations via approximations. Probab. Theory Relat. Fields. 105. p.143-158. 1996.
    • (1996) Probab. Theory Relat. Fields. , vol.105
    • Gyöngy, I.1    Krylov, N.2
  • 7
    • 21244504237 scopus 로고
    • On Kolmogorov's equations for finite dimensional diffusions
    • G. Da Prato ed. Springer Verlag. Lecture Notes in Mathematics
    • N. V. Krylov. On Kolmogorov's equations for finite dimensional diffusions. In Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions. G. Da Prato ed. Springer Verlag. Lecture Notes in Mathematics, 1715. 1988.
    • (1988) Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions , vol.1715
    • Krylov, N.V.1
  • 8
    • 0000254487 scopus 로고
    • Stochastic Differential Equations and Stochastic Flow of Diffeomorphisms. Ecole de probabilités de St Flour. Springer
    • H. Kunita. Stochastic Differential Equations and Stochastic Flow of Diffeomorphisms. Ecole de probabilités de St Flour. Springer. Lecture notes. 1097 p. 143-303. 1982.
    • (1982) Lecture Notes , vol.1097 , pp. 143-303
    • Kunita, H.1
  • 9
    • 0002689020 scopus 로고
    • A Method of Computation for Structural Dynamics
    • N.M. Newmark-A Method of Computation for Structural Dynamics, Jal of the Eng. Mech. Division, ASCE (85). p. 67-94. 1955.
    • (1955) Jal of the Eng. Mech. Division, ASCE , vol.85 , pp. 67-94
    • Newmark, N.M.1
  • 11
    • 0003208202 scopus 로고
    • Simulation of stochastic differential systems. Probabilistic Methods in Applied Physics
    • P. Kree & W. Wedig ed Springer. Berlin Heidelberg
    • D. Talay-Simulation of stochastic differential systems. Probabilistic Methods in Applied Physics, P. Kree & W. Wedig ed. Lecture Notes in Physics vol. 451. Springer. Berlin Heidelberg, p. 54-96. 1995.
    • (1995) Lecture Notes in Physics , vol.451 , pp. 54-96
    • Talay, D.1
  • 12
    • 0000124397 scopus 로고
    • Expansion of the global error for numerical schemes solving stochastic differential equations
    • D. Talay & L. Tubaro-Expansion of the Global Error for Numerical Schemes solving Stochastic Differential Equations. Stoch. Anal. Appl. 8. p. 483-509. 1990.
    • (1990) Stoch. Anal. Appl. , vol.8 , pp. 483-509
    • Talay, D.1    Tubaro, L.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.