본문 바로가기 메뉴바로가기

Papers

On exact convergence rate of strong numerical schemes for stochastic differential equations

https://doi.org/10.4134/BKMS.2007.44.1.125

We propose a simple and intuitive method to derive the exact convergence rate of global error for strong numerical approximation of stochastic differential equations the result of which has been reported by Hofmann and . We conclude that any strong numerical scheme of order has the same optimal convergence rate for this error. The method clearly reveals the structure of global error and is similarly applicable for evaluating the convergence rate of global uniform approximations

We propose a simple and intuitive method to derive the exact convergence rate of global error for strong numerical approximation of stochastic differential equations the result of which has been reported by Hofmann and . We conclude that any strong numerical scheme of order has the same optimal convergence rate for this error. The method clearly reveals the structure of global error and is similarly applicable for evaluating the convergence rate of global uniform approximations