Simulation of stochastic differential equations
Annals of the Institute of Statistical MathematicsPublished 1 January 1993
Saito Yoshihiro, Taketomo Mitsui
Citations45
SJR quartileQ2
SJR score0.60
SNIP0.84
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TL;DR
This work proposes another type of error analysis for discrete approximation schemes for stochastic differential equations with regard to mean-square sense and shows results of simulation studies carried out for these schemes under this notion.
Abstract
Numerical solution, stochastic differential equations, error analysis, order of convergence,
Keywords
MathematicsEconomics, Econometrics and Finance
Numerical solution of stochastic differential equations
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