Strong and weak order of time discretization schemes of stochastic differential equations

Yao-Zhong Hu

Séminaire de probabilités de Strasbourg (1996)

  • Volume: 30, page 218-227

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Hu, Yao-Zhong. "Strong and weak order of time discretization schemes of stochastic differential equations." Séminaire de probabilités de Strasbourg 30 (1996): 218-227. <http://eudml.org/doc/113929>.

@article{Hu1996,
author = {Hu, Yao-Zhong},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {numerical solutions of stochastic differential equations; discretization schemes},
language = {eng},
pages = {218-227},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Strong and weak order of time discretization schemes of stochastic differential equations},
url = {http://eudml.org/doc/113929},
volume = {30},
year = {1996},
}

TY - JOUR
AU - Hu, Yao-Zhong
TI - Strong and weak order of time discretization schemes of stochastic differential equations
JO - Séminaire de probabilités de Strasbourg
PY - 1996
PB - Springer - Lecture Notes in Mathematics
VL - 30
SP - 218
EP - 227
LA - eng
KW - numerical solutions of stochastic differential equations; discretization schemes
UR - http://eudml.org/doc/113929
ER -

References

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  1. [Be] G. Ben Arous, Flots et séries de Taylor stochastiques, Prob. Th. Rel. Fields, 81 (1989), 29-77. Zbl0639.60062MR981567
  2. [Hu] Y.Z. Hu, Séries de Taylor stochastiques et formule de Campbell-Hausdorff, d'après Ben Arous, Sem. Prob. XXVI, Lect. notes in Math.1526, Springer, 1992, 587-594. MR1232020
  3. [HW] Y.Z. Hu and S. Watanabe, Donsker's delta functions and approximation of heat kernels by time discretization method, preprint, 1995. 
  4. [KP] P.E. Kloeden and E. Platen, Numerical Solutions of Stochastic Differential Equations, Springer-Verlag, 1992. Zbl0752.60043MR1214374
  5. [Me] P.A. Meyer, Sur deux estimations d'intégrales multiples, Sem. Prob. XXV, Lecture Notes in Mathematics1458, Springer1991, 425-426. Zbl0745.60052MR1187797
  6. [Øk] B. Øksendal, Stochastic Differential Equations, Springer, 1985. 

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