Ewald, Brian D. Error and convergence of two numerical schemes for stochastic differential equations. (English) Zbl 1099.65010 Numer. Methods Partial Differ. Equations 22, No. 5, 1247-1253 (2006). MSC: 65C30 60H10 60H35 65L20 65L70 65L12 PDF BibTeX XML Cite \textit{B. D. Ewald}, Numer. Methods Partial Differ. Equations 22, No. 5, 1247--1253 (2006; Zbl 1099.65010) Full Text: DOI
Chesney, Marc; Elliott, Robert J. Estimating the instantaneous volatility and covariance of risky assets. (English) Zbl 0821.62047 Appl. Stochastic Models Data Anal. 11, No. 1, 51-58 (1995). MSC: 62M05 62P20 60H10 PDF BibTeX XML Cite \textit{M. Chesney} and \textit{R. J. Elliott}, Appl. Stochastic Models Data Anal. 11, No. 1, 51--58 (1995; Zbl 0821.62047) Full Text: DOI
Kurth, Petra; Zschiesche, Hans-Ulrich Ein heuristisches Verfahren zur Filtration von Itô-Prozessen. (A heuristic method for the filtration of Itô processes). (German) Zbl 0716.60042 Wiss. Z. Tech. Univ. Otto von Guericke 33, No. 6, 84-88 (1989). MSC: 60G35 93E11 60J60 60H10 PDF BibTeX XML Cite \textit{P. Kurth} and \textit{H.-U. Zschiesche}, Wiss. Z. Tech. Univ. Otto von Guericke 33, No. 6, 84--88 (1989; Zbl 0716.60042)
Kurth, Petra; Zschiesche, Hans-Ulrich Numerische Approximation von Markowprozessen. (Numerical approximation of Markov processes). (German) Zbl 0633.65145 Wiss. Z. Tech. Univ. Otto von Guericke 31, No. 5, 26-29 (1987). Reviewer: E.Platen MSC: 65C99 65L05 60H10 34F05 PDF BibTeX XML Cite \textit{P. Kurth} and \textit{H.-U. Zschiesche}, Wiss. Z. Tech. Univ. Otto von Guericke 31, No. 5, 26--29 (1987; Zbl 0633.65145)
Newton, Nigel J. An asymptotically efficient difference formula for solving stochastic differential equations. (English) Zbl 0618.60053 Stochastics 19, 175-206 (1986). MSC: 60H10 60G35 93E11 PDF BibTeX XML Cite \textit{N. J. Newton}, Stochastics 19, 175--206 (1986; Zbl 0618.60053) Full Text: DOI
Newton, Nigel J. Asymptotically optimal discrete approximations for stochastic differential equations. (English) Zbl 0613.60058 Theory and applications of nonlinear control systems, Sel. Pap. 7th Int. Symp., Math. Theory Networks Syst., Stockholm 1985, 555-567 (1986). MSC: 60H10 65C05 PDF BibTeX XML
Harris, C. J.; Maghsoodi, Y. Approximate integration of a class of stochastic differential equations. (English) Zbl 0587.60046 Control theory, Proc. 4th IMA Conf., Cambridge/Engl. 1984, 159-168 (1985). Reviewer: M.Breger MSC: 60H10 65C99 60G35 62M05 PDF BibTeX XML
Talay, Denis Résolution trajectorielle et analyse numérique des équations différentielles stochastiques. (French) Zbl 0512.60041 Stochastics 9, 275-306 (1983). MSC: 60H10 65L05 PDF BibTeX XML Cite \textit{D. Talay}, Stochastics 9, 275--306 (1983; Zbl 0512.60041) Full Text: DOI
Talay, Denis Convergence, pour chaque trajectoire, d’un schema d’approximation des E.D.S. (French) Zbl 0517.60062 C. R. Acad. Sci., Paris, Sér. I 295, 249-252 (1982). MSC: 60H10 62L20 65C99 PDF BibTeX XML Cite \textit{D. Talay}, C. R. Acad. Sci., Paris, Sér. I 295, 249--252 (1982; Zbl 0517.60062)
Wagner, Wolfgang; Platen, Eckhard Approximation of Ito integral equations. (Preprint). (English) Zbl 0413.60056 Akademie der Wissenschaften der DDR, Zentralinstitut für Mathematik und Mechanik. 27 S. (1978). MSC: 60H20 65C20 62L20 PDF BibTeX XML