The Rate of Convergence for Approximate Solutions of Stochastic Differential Equations

Shûya KANAGAWA
1989 Tokyo Journal of Mathematics  
We estimate the error of the Euler-Maruyama type approximate solutions for $\mathrm{I}\mathrm{t}\hat{\mathrm{o}}^{1}\mathrm{s}$ st ochastic $\mathrm{d}\mathrm{i}$ ffere nt ial $\mathrm{e}$ quations using the K-M-T inequality. The obtained result can be applied to Monte Carlo simulations of stochastic differential equations.
doi:10.3836/tjm/1270133546 fatcat:izjybffwrreexfel3op5nyilhu