Keywords
- Stochastic Differential Equation
- Polynomial Growth
- Weak Order
- Strong Order
- Independent Brownian Motion
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
This is a preview of subscription content, access via your institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
[Be] G. Ben Arous, Flots et séries de Taylor stochastiques, Prob. Th. Rel. Fields, 81 (1989), 29–77.
[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.
[HW] Y.Z. Hu and S. Watanabe, Donsker’s delta functions and approximation of heat kernels by time discretization method, preprint, 1995.
[KP] P. E. Kloeden and E. Platen, Numerical Solutions of Stochastic Differential Equations, Springer-Verlag, 1992.
[Me] P. A. Meyer, Sur deux estimations d’intégrales multiples, Sem. Prob. XXV, Lecture Notes in Mathematics 1458, Springer 1991, 425–426.
[Øk] B. Øksendal, Stochastic Differential Equations, Springer, 1985.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1996 Springer-Verlag
About this chapter
Cite this chapter
Hu, Y. (1996). Strong and weak order of time discretization schemes of stochastic differential equations. In: Azéma, J., Yor, M., Emery, M. (eds) Séminaire de Probabilités XXX. Lecture Notes in Mathematics, vol 1626. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0094650
Download citation
DOI: https://doi.org/10.1007/BFb0094650
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-61336-7
Online ISBN: 978-3-540-68463-3
eBook Packages: Springer Book Archive
