Numerical methods for stochastic differential equations

ZAMM Zeitschrift fur Angewandte Mathematik und Mechanik

Volumn 76, Issue SUPPL. 3, 1996, Pages 211-214

  Newton, N J ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33748815101     PISSN: 00442267     EISSN: 15214001     Source Type: Journal    
DOI: None     Document Type: Article

References (10)

1. CLARK, J.M.C., CAMERON, R.J.: The maximum rate of convergence of discrete approximations for stochastic differential equations; in: B. Grigelionis (ed.): Stochastic Differential Systems - Filtering and Control; Lecture Notes in Control and Information Sciences 25, Springer-Verlag, Berlin (1980).
2. KLOEDEN, P.E., PLATEN, E.: Numerical Solution of Stochastic Differential Equations; Springer-Verlag, 1992.
3. GAINES, J.G., LYONS, T.J.: Random generation of stochastic area integrals; SIAM J. Appl. Math. 54, No.4 (1994), 1132-1146.
4. MILSHTEIN, G.N.: Approximate integration of stochastic differential equations; Theory Probab. Appl. 19 (1974), 557-562.
5. MILSHTEIN, G.N.: A method of second-order accuracy integration of stochastic differential equations; Theory Probab. Appl. 23 (1978), 396-401.
6. NEWTON, N.J.: Asymptotically efficient Runge-Kutta methods for a class of Itô and Stratonovich equations; SIAM J Appl. Math. 51, No. 2 (1991), 542-567.
7. ROGERS, L.C.G., WILLIAMS, D.W.: Diffusions, Markov Processes and Martingales - Volume 2: Itô Calculus; Wiley (1987).
8. TALAY, D.: Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionelles de la solution; Math. Model. Numer. Anal. 20 (1986), 141-179.
9. TALAY, D., TUBARO, L.: Expansion of the global error for numerical schemes solving stochastic differential equations; Stoch. Anal. Appl. 8 (1990), 483-509.
10. WAGNER, W.: Unbiased Monte Carlo estimators for functionals of weak solutions of stochastic differential equations; Stochastics and Stochastics Reports 28 (1989), 1-20.