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Optimal pointwise approximation of SDE’s from inexact information · Study

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ArticleOptimal pointwise approximation of SDE’s from inexact information

Paweł M. Morkisz2017

OA

Articlebronze2017

Optimal pointwise approximation of SDE’s from inexact information

Paweł M. Morkisz · Paweł Przybyłowicz

16 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical Approximation and Integration

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References

2007Brownian Motion and Stochastic Calculus 2016Numerical solution of stochastic differential equations 2008Stochastic differential equations and applications 1991Brownian motion and stochastic calculus 1976Stochastic Differential Equations and Applications 2010Stochastic Differential Equations and Applications 2002Strong approximation of systems of stochastic differential equations 2014Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm

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Details

Year2017

Typearticle

Published2017-04-19

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2017.04.023

openalex_workW2607218206

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