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Expansion of the global error for numerical schemes solving stochastic differential equations

 

作者: Denis Talay,   Luciano Tubaro,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1990）
卷期: Volume 8, issue 4  

页码: 483-509

 

ISSN:0736-2994

 

年代: 1990

 

DOI:10.1080/07362999008809220

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

Given the solution (Xt) of a Stochastic Differential System, two situat,ions are considered: computat,ion of Ef(Xt) by a Monte–Carlo method and, in the ergodic case, integration of a functionfw.r.t. the invariant probability law of (Xt) by simulating a simple t,rajectory.

 

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