On the global error of Itô-Taylor schemes for strong approximation of scalar stochastic differential equations

Journal of Complexity

Volumn 20, Issue 5, 2004, Pages 732-752

  Hofmann, Norbert ^a   Müller Gronbach, Thomas ^b  

^a GOETHE UNIVERSITY   (Germany)

^b OTTO VON GUERICKE UNIVERSITY   (Germany)

Author keywords

It Taylor methods; Optimal order of convergence; Pathwise approximation; Stochastic differential equations

Indexed keywords

EID: 4444266562     PISSN: 0885064X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jco.2003.09.004     Document Type: Article

References (7)

1. Hofmann N. Müller-Gronbach T. Ritter K. The optimal discretization of stochastic differential equations J. Complexity 17 2001 117-153
2. Hofmann N. Müller-Gronbach T. Ritter K. Linear vs. standard information for scalar stochastic differential equations J. Complexity 18 2002 394-414
3. Kloeden P. Platen E. Numerical Solution of Stochastic Differential Equations 1995 Springer Berlin
4. Milstein G.N. Numerical Integration of Stochastic Differential Equations 1995 Kluwer Dordrecht
5. T. Müller-Gronbach, Strong Approximation of Systems of Stochastic Differential Equations, Habilitationsschrift, Technische Universität Darmstadt, 2001.
6. Müller-Gronbach T. The optimal uniform approximation of systems of stochastic differential equations Ann. Appl. Probab. 12 2002 664-690
7. W. Wagner, E. Platen, Approximation of Ito integral equations, Preprint ZIMM, Akad. Wiss. DDR, Berlin, 1978.