Abstract
For applications, the "Monte-Carlo criterion" and the "trajectorial criterion" (which is quite new) seem to be the most useful criterions to measure the quality of a scheme of discretization of a S.D.E. It is of interest to note that the choice of the optimal scheme should be different wheither one wants to realize approximation of Monte-Carlo type, or one wants to simulate the trajectory of the solution corresponding to a given trajectory of (wt).
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© 1982 Spring-Verlag
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Talay, D. (1982). How to discretize stochastic differential equations. In: Mitter, S.K., Moro, A. (eds) Nonlinear Filtering and Stochastic Control. Lecture Notes in Mathematics, vol 972. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0064866
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DOI: https://doi.org/10.1007/BFb0064866
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