Optimal pointwise approximation of SDKs based on Brownian motion at discrete points

Annals of Applied Probability

Volumn 14, Issue 4, 2004, Pages 1605-1642

  Müller Gronbach, Thomas ^a  

^a OTTO VON GUERICKE UNIVERSITY   (Germany)

Author keywords

Adaptive scheme; Asymptotic optimality; Pathwise approximation; Step size control; Stochastic differential equations

Indexed keywords

EID: 26844485169     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000954     Document Type: Article

References (15)

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