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Explicit Strong Approximations

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Numerical Solution of Stochastic Differential Equations

Part of the book series: Applications of Mathematics ((SMAP,volume 23))

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Abstract

In this chapter we shall propose and examine strong schemes which avoid the use of derivatives in much the same way that Runge-Kutta schemes do in the deterministic setting. We shall also call these Runge-Kutta schemes, but it must be emphasized that they are not simply heuristic generalizations of deterministic Runge-Kutta schemes to stochastic differential equations. The notation and abbreviations of the last chapter will continue to be used, often without direct reference.

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Authors and Affiliations

  1. Fachbereich Mathematik, Johann Wolfgang Goethe-Universität, Postfach 11 19 32, D-60054, Frankfurt am Main, Germany

    Peter E. Kloeden

  2. School of Mathematical Sciences and School of Finance & Economics, University of Technology, Sydney, City Campus Broadway, GPO Box 123, 2007, Broadway, NSW, Australia

    Eckhard Platen

Authors
  1. Peter E. Kloeden
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  2. Eckhard Platen
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© 1992 Springer-Verlag Berlin Heidelberg

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Kloeden, P.E., Platen, E. (1992). Explicit Strong Approximations. In: Numerical Solution of Stochastic Differential Equations. Applications of Mathematics, vol 23. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-12616-5_11

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  • DOI: https://doi.org/10.1007/978-3-662-12616-5_11

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-08107-1

  • Online ISBN: 978-3-662-12616-5

  • eBook Packages: Springer Book Archive

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