Special Session 153: Stochastic computing and structure preserving methods
Convergence rate of two classes of error processes for stochastic differential equations
Fuke Wu
Huazhong University of Science and Technology
Peoples Rep of China
Co-Author(s):    Huagui Liu, Ya Wang
Abstract:
By the Cauchy problem as a bridge, this paper establishes the convergence rate of the asymptotic error process for the Euler scheme of stochastic differential equations (SDEs). When the noise is additive, the convergence rate of the stronger error process is obtained. These results fill in the gap of the current literature on the convergence of the asymptotic error process.
Go Back