Convergence of schemes for stochastic differential equations

Probabilistic Engineering Mechanics

Volumn 21, Issue 1, 2006, Pages 35-43

  Fleury, Gérard ^a  

^a UNIVERSITÉ CLERMONT AUVERGNE   (France)

Author keywords

Euler scheme; Milshtein Scheme; Monte Carlo Simulation; Newmark scheme; Numerical schemes; Stochastic Differential Equation

Indexed keywords

COMPUTER SIMULATION; DIFFERENTIAL EQUATIONS; ELECTRIC EXCITATION; MONTE CARLO METHODS; STOCHASTIC PROGRAMMING; WHITE NOISE;

EULER SCHEME; MILSHTEIN SCHEME; NEWMARK SCHEME; NUMERICAL SCHEMES; STOCHASTIC DIFFERENTIAL EQUATIONS;

CONVERGENCE OF NUMERICAL METHODS;

EID: 28244487471     PISSN: 02668920     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.probengmech.2005.07.001     Document Type: Article

References (6)

1. P. Bernard, and G. Fleury Stochastic newmark's method D. Spanos Computational stochastic mechanics. (3rd international conference on computational stochastic mechanics.) 1999 Balkema Rotterdam, Brookfield 365 373
2. P. Bernard, and G. Fleury Convergence of numerical schemes for stochastic differential equations Monte Carlo Methods Appl 7 1 2001 35 53
3. O. Faure. Simulation du Mouvement Brownien et des Diffusions. PHD thesis, Ecole de Ponts et Chaussées 1992.
4. I. Gyöngy A note on Euler's Approximations Potent Anal 8 1998 205 216
5. P.E. Kloeden, and E. Platen Numerical solution of stochastic differential equations 1995 Springer
6. N.M. Newmark A method of computation for structural dynamics J Eng Mech Div, ASCE 85 1955 67 94