Minimal errors for strong and weak approximation of stochastic differential equations

Monte Carlo and Quasi-Monte Carlo Methods 2006

Volumn , Issue , 2008, Pages 53-82

  Müller Gronbach, Thomas ^a   Ritter, Klaus ^b  

^a UNIVERSITY OF HAGEN   (Germany)

^b DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION ALGORITHMS; BROWNIAN MOVEMENT; COMPUTATIONAL COMPLEXITY; DIFFERENTIAL EQUATIONS; ERRORS; STOCHASTIC SYSTEMS;

ANALYSIS OF ALGORITHMS; ASYMPTOTICALLY OPTIMAL; STOCHASTIC DIFFERENTIAL EQUATIONS; STRONG AND WEAK APPROXIMATIONS; STRONG APPROXIMATION; SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS; WEAK APPROXIMATION; WORST-CASE ANALYSIS;

MONTE CARLO METHODS;

EID: 56549118742     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-540-74496-2_4     Document Type: Conference Paper

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