본문 바로가기 주메뉴 바로가기
검색 검색영역닫기 검색 검색영역닫기 ENGLISH 메뉴 전체보기 메뉴 전체보기

논문

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

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

  • 저자Dougu Nam
  • 학술지Bulletin of the Korean Mathematical Society 44/1
  • 등재유형
  • 게재일자(2007)

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

이 페이지에서 제공하는 정보에 대해 만족하십니까?