On two-step methods for stochastic differential equations

Acta Cybernetica

Volumn 13, Issue 2, 1997, Pages 197-207

  Bokor, Rózsa Horváth ^a  

^a UNIVERSITY OF ZAGREB   (Croatia)

Author keywords

Numerical schemes; Stochastic differential equations; Strong solutions

Indexed keywords

EID: 3142555960     PISSN: 0324721X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. Boulean, N. and Lépirigle, D. Numerical Method for Stochastic Processes, John Wiley & Sons, 1994.
2. Karatzas, I. and Shreve, S. E. Brownian Motion and Stochastic Calculus, Springer-Verlag, 1988.
3. Kloden, P. E. and Platen, E. Numerical Solution of Stochastic Differential Equations, Springer-Verlag, 1992.
4. Lépingle, D. and Ribémont, B. Un schéma multiplas d'approximation de l'equation de Langein, Stochastic Processes and their Applications 37 (1991), 61-69, North Holland
5. Newton, N. J. Asymptotically efficient Runge-Kutta methods for a class of Itô and Straonocich equations, SIAM J. Appl. Math. 51 (1991), 542-567
6. Rümelin, W. Numerical treatment of stochastic differential equations, SIAM J. Numer. Anal. 19 (1982), 604-613
7. Talay, D. Résolution trajectorielle et analyse numérique des équations différentielles stochastiques, Stochastics 9 (1983), 275-306