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Licensed Unlicensed Requires Authentication Published by De Gruyter October 16, 2009

Convergence of Numerical Schemes for Stochastic Differential Equations

  • Pierre Bernard and Gérard Fleury
From the journal Monte Carlo Methods and Applications
https://doi.org/10.1515/mcma.2001.7.1-2.35
Published Online: 2009-10-16
Published in Print: 2001

Walter de Gruyter

From the journal
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications
Volume 7 Issue 1-2
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Articles in the same Issue

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Optimal Estimation of Amplitude and Phase Modulated Signals
Some generic properties in backward stochastic differential equations with continuous coefficient
A stochastic quantization method for nonlinear problems
Convergence of Numerical Schemes for Stochastic Differential Equations
A STOCHASTIC PARTICLE METHOD FOR THE SOLUTION OF A 1D VISCOUS SCALAR CONSERVATION LAW IN A BOUNDED INTERVAL
Theoretical and numerical aspects of stochastic nonlinear Schrödinger equations
A Monte Carlo method to compute the exchange coefficient in the double porosity model
A Monte Carlo Algorithm for a Lottery Problem
Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation
Interacting Brownian particles with strong repulsion
Non-Markovian Optimal Prediction
Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion
A view on Noncommutative Large Deviations from a theory of Noncommutative Capacities
A SIMPLE VARIANCE REDUCTION METHOD WITH APPLICATIONS TO FINANCE AND QUEUEING THEORY
A generalization of the Connection Between the Additive and Multiplicative Solutions for the Smoluchowski’s Coagulation Equation
A RJMCMC Algorithm for Object Processes in Image Processing
Stochastic algorithms for studying coagulation dynamics and gelation phenomena
Generalized Quantum Statistics and Testing of Randomizers with and without Asymptotic Assumptions
Monte-Carlo approximations for 2d homogeneous Boltzmann equations without cutoff and for non Maxwell molecules
Efficient schemes for the weak approximation of reflected diffusions
On Smoluchowski Equations for Coagulation Processes with Multiple Absorbing States
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